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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| Veröffentlicht in: | Theory of probability and its applications 2011-01, Vol.55 (4), p.575-610 |
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| container_title | Theory of probability and its applications |
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| creator | Bercu, B. Coutin, L. Savy, N. |
| description | 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] |
| doi_str_mv | 10.1137/S0040585X97985108 |
| format | Article |
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| ispartof | Theory of probability and its applications, 2011-01, Vol.55 (4), p.575-610 |
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| language | eng |
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| source | LOCUS - SIAM's Online Journal Archive |
| subjects | Brownian motion Investigations Mathematics Probability Random variables |
| title | Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process |
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