Large deviations for squared radial Ornstein-Uhlenbeck processes.

DOI10.1016/S0304-4149(02)00156-4zbMath1075.62535OpenAlexW2064087500MaRDI QIDQ2574517

Marguerite Zani

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(02)00156-4

zbMATH Keywords

large deviationsmaximum likelihood estimatorSDEradial Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Diffusion processes (60J60) Large deviations (60F10)

Related Items (13)

Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift ⋮ Large Deviations for the Squared Radial Ornstein--Uhlenbeck Process ⋮ Large deviations in testing squared radial Ornstein-Uhlenbeck model ⋮ Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process ⋮ Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model ⋮ Sharp Large Deviations for the Drift Parameter of the Explosive Cox--Ingersoll--Ross Process ⋮ Large deviations for the Ornstein-Uhlenbeck process without tears ⋮ Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process ⋮ Moderate deviations for parameter estimation in some time inhomogeneous diffusions ⋮ Weighted least-squares estimation for the subcritical Heston process ⋮ Large deviations for statistics of the Jacobi process ⋮ Moderate deviations for squared radial Ornstein-Uhlenbeck process ⋮ Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process

Cites Work

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