Moderate deviations and central limit theorem for positive diffusions
Work
Year: 2016
Type: article
Abstract: In this paper, we establish a central limit theorem and a moderate deviation principle for the positive diffusions, including the CEV and CIR models. The proof is based on the exponential approximatio... more
Authors Yumeng Li, Shuguang Zhang
Institution University of Science and Technology of China
Cites: 17
Cited by:
Related to: 10
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Citation percentile (by year/subfield):
Subfield: Mathematical Physics
Field: Mathematics
Domain: Physical Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: gold
APC paid (est): $1,300
Grant ID 11471304, 11401556