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Journal Articles SIAM Theory of Probability and its Applications Year : 2011

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

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.

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Probability [math.PR]

Bernard Bercu  : Connect in order to contact the contributor

https://hal.science/hal-00386239

Submitted on : Wednesday, May 20, 2009-5:29:05 PM

Last modification on : Wednesday, April 3, 2024-12:52:03 PM

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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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