Large deviations in estimation of an Ornstein-Uhlenbeck model

DOI10.1016/S0764-4442(99)80370-XzbMath0873.62084MaRDI QIDQ4350960

Danielle Florens-Landais, Huyên Pham

Publication date: 4 September 1997

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

zbMATH Keywords

diffusion processOrnstein-Uhlenbeck processlarge deviation principlequadratic variationexplicit rate functionparameter-dependent change of measure

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)

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