Large deviations in estimation of an Ornstein-Uhlenbeck model (Q4350960)
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scientific article; zbMATH DE number 1057211
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large deviations in estimation of an Ornstein-Uhlenbeck model |
scientific article; zbMATH DE number 1057211 |
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Large deviations in estimation of an Ornstein-Uhlenbeck model (English)
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4 September 1997
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large deviation principle
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explicit rate function
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Ornstein-Uhlenbeck process
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quadratic variation
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diffusion process
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parameter-dependent change of measure
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