Large deviations for the Ornstein-Uhlenbeck process without tears

DOI10.1016/j.spl.2016.11.030zbMath1416.60045OpenAlexW2485323382MaRDI QIDQ511547

Adrien Richou, Bernard Bercu

Publication date: 21 February 2017

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

Full work available at URL: https://doi.org/10.1016/j.spl.2016.11.030

zbMATH Keywords

Ornstein-Uhlenbeck processlarge deviationsmaximum likelihood estimates

Mathematics Subject Classification ID

Diffusion processes (60J60) Large deviations (60F10)

Related Items (12)

Deviation properties for linear self-attracting diffusion process and applications ⋮ Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process ⋮ On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge ⋮ Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications ⋮ A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes ⋮ Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process ⋮ Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations ⋮ Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ Self-normalized Cramér-type moderate deviations for explosive Vasicek model ⋮ Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process ⋮ Large deviations of time-averaged statistics for Gaussian processes ⋮ Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift

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• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• Large Deviations for the Squared Radial Ornstein--Uhlenbeck Process

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