Sharp large deviations for the fractional Ornstein-Uhlenbeck process
Idioma
en
Article de revue
Este ítem está publicado en
SIAM Theory of Probability and its Applications. 2011, vol. 55, n° 4, p. 575-610
Society for Industrial and Applied Mathematics
Resumen en inglés
We investigate the sharp large deviation properties of the energy and the maximum likelihood estimator for the Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst index greater than one half.