Sharp large deviations for the fractional Ornstein-Uhlenbeck process
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Abstract: We investigate the sharp large deviation properties of the energy and the maximum likelihood estimator for the Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst index greater than one half.
The authors study large deviation properties of some functionals associated with the fractional Ornstein-Uhlenbeck process \(dX_t= \theta X_tdt +dW_t^H,\;t \geq 0,\;X_0=0,\;\theta < 0\), driven by a fractional Brownian motion \(W^H\) with Hurst index \(H\in (\frac{1}{2},1).\) Suppose the process \(\{X_t, t \geq 0\}\) is observed over the interval \([0,T].\) It is shown that the maximum likelihood estimator \(\hat \theta_T\) is strongly consistent, asymptotically normal after suitable normalization and satisfies the large deviation principle with good rate function \(I(c)= -\frac{(c-\theta)^2}{4c}\) if \(c <\frac{\theta}{3}\) and \(I(c)= 2c-\theta \) if \(c \geq \frac{\theta}{3}.\) The authors also investigate the large deviation property for the ``energy functional for the process \(\{X_t, 0 \leq t \leq T\}.\)
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Cited in
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- Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise
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- Controlled drift estimation in fractional diffusion linear systems
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- Sharp Large Deviations for the Ornstein--Uhlenbeck Process
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- Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
- Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean
- Fractional interacting particle system: drift parameter estimation via Malliavin calculus
- Parameter estimation for an Ornstein-Uhlenbeck process driven by a type of Gaussian noise with Hurst parameter \(H\in (0,\frac{1}{2})\)
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