Precise large deviations for Ornstein-Uhlenbeck processes

DOI10.2996/KMJ/1383660697zbMath1285.60026OpenAlexW2071484080MaRDI QIDQ389056

Xiangfeng Yang

Publication date: 17 January 2014

Published in: Kodai Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2996/kmj/1383660697

zbMATH Keywords

large deviationOrnstein-Uhlenbeck processexponential change of measures

Mathematics Subject Classification ID

Brownian motion (60J65) Series solutions to PDEs (35C10) Large deviations (60F10)

Related Items (1)

Asymptotic expansions for Laplace transforms of Markov processes

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