Central limit theorem and moderate deviation principle for CKLS model with small random perturbation

DOI10.1016/j.spl.2014.11.017zbMath1310.60018OpenAlexW2092692086MaRDI QIDQ2018611

Yujie Cai, Shaochen Wang

Publication date: 24 March 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.11.017

zbMATH Keywords

central limit theoremsmall perturbationmoderate deviation principleCKLS model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10) Limit theorems in probability theory (60F99)

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Cites Work

• General Freidlin-Wentzell large deviations and positive diffusions
• Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
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