Central limit theorem and moderate deviation principle for CKLS model with small random perturbation

被引：5

作者：

Cai, Yujie ^{[1
,2
]}

Wang, Shaochen ^{[1
]}

机构：

[1] Wuhan Univ, Sch Math & Stat, Wuhan, Peoples R China

[2] Henan Univ Urban Construct, Sch Math & Phys, Pingdingshan, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2015年 / 98卷

基金：

中国国家自然科学基金;

关键词：

CKLS model; Small perturbation; Central limit theorem; Moderate deviation principle;

D O I：

10.1016/j.spl.2014.11.017

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：

In this paper, we study the asymptotic behavior of randomly perturbed Chan-Karolyi-Longstaff-Sanders (CKLS) model with small parameter root epsilon. When epsilon -> 0, the central limit theorem and moderate deviation principle for the solution of randomly perturbed CKLS model are obtained. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：6 / 11

页数：6

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