Moderate deviations and central limit theorem for positive diffusions

DOI10.1186/S13660-016-1031-2MaRDI QIDQ255538zbMATH OpenOpenAlexWikidataFDO

Authors Shuguang Zhang, Yumeng Li

Publication date 9 March 2016

Published in Journal of Inequalities and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13660-016-1031-2

zbMATH Keywords

central limit theoremCEV modelCIR modelmoderate deviationspositive diffusions

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 3826915 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• Averaging principle of SDE with small diffusion: Moderate deviations
• Delta method in large deviations and moderate deviations for estimators
• General Freidlin-Wentzell large deviations and positive diffusions
• Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
• Moderate deviation principle for autoregressive processes
• Moderate deviation principles for stochastic differential equations with jumps
• Moderate deviations and central limit theorem for small perturbation Wishart processes
• Moderate deviations for stochastic reaction-diffusion equations with multiplicative noise
• The sharp lower bound of asymptotic efficiency of estimators in the zone of moderate deviation probabilities
• Verhulst versus CIR

Cited in

(1)

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

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