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

DOI10.1016/J.SPL.2014.11.017MaRDI QIDQ2018611zbMATH OpenOpenAlexFDO

Authors Yujie Cai, Shaochen Wang

Publication date 24 March 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.11.017

zbMATH Keywords

central limit theoremCKLS modelmoderate deviation principlesmall perturbation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Limit theorems in probability theory (60F99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• General Freidlin-Wentzell large deviations and positive diffusions
• scientific article; zbMATH DE number 3678842 (Why is no real title available?)
• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes

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(7)

• Moderate deviations and central limit theorem for small perturbation Wishart processes
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• Moderate deviations for stochastic tidal dynamics equations with multiplicative Gaussian noise
• Inference methods in time-varying linear diffusion processes

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