Sharp large deviations for the fractional Ornstein-Uhlenbeck process
BERCU, Bernard
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
Quality control and dynamic reliability [CQFD]
BERCU, Bernard
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
Quality control and dynamic reliability [CQFD]
< Réduire
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
Quality control and dynamic reliability [CQFD]
Langue
en
Article de revue
Ce document a été publié dans
SIAM Theory of Probability and its Applications. 2011, vol. 55, n° 4, p. 575-610
Society for Industrial and Applied Mathematics
Résumé en anglais
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.
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.< Réduire
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