Sharp large deviations for the fractional Ornstein-Uhlenbeck process - Archive ouverte HAL
Article Dans Une Revue SIAM Theory of Probability and its Applications Année : 2011

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

Résumé

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.

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Probabilités [math.PR]

Bernard Bercu  : Connectez-vous pour contacter le contributeur

https://hal.science/hal-00386239

Soumis le : mercredi 20 mai 2009-17:29:05

Dernière modification le : vendredi 26 avril 2024-16:39:22

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Dates et versions

hal-00386239 , version 1 (20-05-2009)

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Bernard Bercu, Laure Coutin, Nicolas Savy. Sharp large deviations for the fractional Ornstein-Uhlenbeck process. SIAM Theory of Probability and its Applications, 2011, 55 (4), pp.575-610. ⟨hal-00386239⟩

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