Geodesic
Sharp Large Deviations for the Ornstein--Uhlenbeck Process
Teoriâ veroâtnostej i ee primeneniâ, Tome 46 (2001) no. 1, pp. 74-93

Voir la notice de l'article provenant de la source Math-Net.Ru

We establish sharp large deviation principles for well-known random variables associated with the Ornstein–Uhlenbeck process, such as the energy, the maximum likelihood estimator of the drift parameter, and the log-likelihood ratio.
Keywords: large deviations, Ornstein–Uhlenbeck process, likelihood estimation. 
@article{TVP_2001_46_1_a3,
     author = {B. Bercu and A. Rouault},
     title = {Sharp {Large} {Deviations} for the {Ornstein--Uhlenbeck} {Process}},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {74--93},
     publisher = {mathdoc},
     volume = {46},
     number = {1},
     year = {2001},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2001_46_1_a3/}
}
TY  - JOUR
AU  - B. Bercu
AU  - A. Rouault
TI  - Sharp Large Deviations for the Ornstein--Uhlenbeck Process
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2001
SP  - 74
EP  - 93
VL  - 46
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_2001_46_1_a3/
LA  - en
ID  - TVP_2001_46_1_a3
ER  - 
%0 Journal Article
%A B. Bercu
%A A. Rouault
%T Sharp Large Deviations for the Ornstein--Uhlenbeck Process
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2001
%P 74-93
%V 46
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_2001_46_1_a3/
%G en
%F TVP_2001_46_1_a3
B. Bercu; A. Rouault. Sharp Large Deviations for the Ornstein--Uhlenbeck Process. Teoriâ veroâtnostej i ee primeneniâ, Tome 46 (2001) no. 1, pp. 74-93. http://geodesic.mathdoc.fr/item/TVP_2001_46_1_a3/