Work

Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process

Year: 2011

Type: article

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.

Source: Theory of Probability and Its Applications

DOI: 10.1137/s0040585x97985108

Authors: B. Bercu, L. Coutin, N. Savy

Institutions: Institut de Mathématiques de Bordeaux, Institut de Mathématiques de Toulouse

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2135603267

FWCI: 10.63

Cites: 16

Cited by: 52

Related to: 10