Moderate deviations and central limit theorem for positive diffusions

被引：0
作者：
Yumeng Li
Shuguang Zhang
机构：
[1] University of Science and Technology of China,Department of Statistics and Finance
来源：
Journal of Inequalities and Applications | / 2016卷
关键词：
moderate deviations; central limit theorem; CEV; CIR; 60H10; 60F05; 60F10;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we establish a central limit theorem and a moderate deviation principle for the positive diffusions, including the CEV and CIR models. The proof is based on the exponential approximations theorem and Burkholder-Davis-Gundy’s inequality.
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