Sharp Large Deviations for the Drift Parameter of the Explosive Cox--Ingersoll--Ross Process

DOI10.1137/S0040585X97T990058zbMath1452.62204arXiv1806.08160MaRDI QIDQ5131242

M. du Roy de Chaumaray

Publication date: 5 November 2020

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.08160

zbMATH Keywords

parameter estimationlarge deviationsmaximum likelihood estimatorCox-Ingersoll-Ross (CIR) process

Mathematics Subject Classification ID

Point estimation (62F10) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Large Deviations for the Squared Radial Ornstein--Uhlenbeck Process

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