Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process

DOI10.1016/j.spa.2012.06.006zbMath1316.60035arXiv1111.6086OpenAlexW2104981079MaRDI QIDQ449228

Nicolas Savy, Bernard Bercu, Laure Coutin

Publication date: 12 September 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.6086

zbMATH Keywords

Ornstein-Uhlenbeck processlarge deviationslikelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Diffusion processes (60J60) Large deviations (60F10)

Related Items (16)

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