Moderate deviations and central limit theorem for positive diffusions

DOI10.1186/s13660-016-1031-2zbMath1334.60022WikidataQ59468095 ScholiaQ59468095MaRDI QIDQ255538

Shuguang Zhang, Yu-meng Li

Publication date: 9 March 2016

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

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

zbMATH Keywords

central limit theorem; moderate deviations; CEV model; CIR model; positive diffusions

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60F10: Large deviations

Cites Work

• Delta method in large deviations and moderate deviations for estimators
• General Freidlin-Wentzell large deviations and positive diffusions
• Moderate deviation principles for stochastic differential equations with jumps
• Moderate deviation principle for autoregressive processes
• Averaging principle of SDE with small diffusion: Moderate deviations
• Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
• The sharp lower bound of asymptotic efficiency of estimators in the zone of moderate deviation probabilities
• Moderate deviations and central limit theorem for small perturbation Wishart processes
• Verhulst versus CIR
• Moderate deviations for stochastic reaction-diffusion equations with multiplicative noise
• Unnamed Item
• Unnamed Item
• Unnamed Item