Large deviations for squared radial Ornstein-Uhlenbeck processes. (Q2574517)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large deviations for squared radial Ornstein-Uhlenbeck processes. |
scientific article |
Statements
Large deviations for squared radial Ornstein-Uhlenbeck processes. (English)
0 references
29 November 2005
0 references
Radial Ornstein-Uhlenbeck processes are considered in the paper. Their squares are expressed as strong solutions of a SDE containing two parameters: \(\delta >0\) and \(b\in {\mathbb R}\). The author investigates the maximum likelihood estimator of \((\delta ,b)\) and contributes with large deviations for it.
0 references
radial Ornstein-Uhlenbeck process
0 references
SDE
0 references
maximum likelihood estimator
0 references
large deviations
0 references
0 references
0 references
0 references
