SHARP LARGE DEVIATIONS FOR THE FRACTIONAL ORNSTEIN-UHLENBECK PROCESS

被引：27

作者：

Bercu, B. ^{[1
]}

Coutin, L. ^{[2
]}

Savy, N. ^{[1
]}

机构：

[1] Univ Bordeaux 1, Inst Math Bordeaux, UMR C5251, F-33405 Talence, France

[2] Univ Toulouse 3, Inst Math Toulouse, UMR C5583, F-31062 Toulouse 09, France

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2011年 / 55卷 / 04期

关键词：

large deviations; Ornstein-Uhlenbeck process; fractional Brownian motion; QUADRATIC-FORMS;

D O I：

10.1137/S0040585X97985108

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We investigate the sharp large deviation properties of the energy and the maximum likelihood estimator for the Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst index greater than one half.

引用

页码：575 / 610

页数：36

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