Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions

DOI10.1016/j.jmaa.2011.03.057zbMath1215.60015arXiv0810.2930OpenAlexW2041472644MaRDI QIDQ536242

Gyula Pap, Mátyás Barczy

Publication date: 16 May 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.2930

zbMATH Keywords

Laplace transformmaximum likelihood estimationCameron-Martin formula\(\alpha \)-Wiener bridgesinhomogeneous diffusion

Mathematics Subject Classification ID

Point estimation (62F10) Characteristic functions; other transforms (60E10) Diffusion processes (60J60)

Related Items (17)

Asymptotic behaviours for maximum likelihood estimator of drift parameter in α-Wiener bridge process ⋮ On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge ⋮ A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes ⋮ Bias-correction of the maximum likelihood estimator for the \(\alpha\)-Brownian bridge ⋮ Karhunen-Loève expansions of \(\alpha\)-Wiener bridges ⋮ Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge ⋮ Large deviations for parameter estimators of some time inhomogeneous diffusion process ⋮ Sharp large deviation for the energy of \(\alpha\)-Brownian bridge ⋮ Large deviations for parameter estimators of \(\alpha\)-Brownian bridge ⋮ Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process ⋮ α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties ⋮ Large and moderate deviations in testing time inhomogeneous diffusions ⋮ Berry-Esseen bound for parameter estimation in some time inhomogeneous diffusions and applications ⋮ Moderate deviations for parameter estimation in some time inhomogeneous diffusions ⋮ On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes ⋮ Least squares estimator for \(\alpha\)-sub-fractional bridges ⋮ Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes

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