Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process

Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process

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. [PUBLICATION ABSTRACT]

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Bibliographische Detailangaben
Veröffentlicht in:Theory of probability and its applications 2011-01, Vol.55 (4), p.575-610
Hauptverfasser: Bercu, B., Coutin, L., Savy, N.
Format: Artikel
Sprache:eng
Schlagworte:
Brownian motion
Investigations
Mathematics
Probability
Random variables
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Beschreibung
Zusammenfassung: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. [PUBLICATION ABSTRACT]
ISSN:0040-585X
1095-7219
1095-7219
DOI:10.1137/S0040585X97985108