Sharp large deviations for the fractional Ornstein-Uhlenbeck process
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
hal.structure.identifier | Advanced Learning Evolutionary Algorithms [ALEA] | |
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
dc.contributor.author | BERCU, Bernard | |
hal.structure.identifier | Institut de Mathématiques de Toulouse UMR5219 [IMT] | |
dc.contributor.author | COUTIN, Laure | |
hal.structure.identifier | Institut de Mathématiques de Toulouse UMR5219 [IMT] | |
dc.contributor.author | SAVY, Nicolas | |
dc.date.created | 2008-10-24 | |
dc.date.issued | 2011 | |
dc.identifier.issn | 1095-7219 | |
dc.description.abstractEn | 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. | |
dc.language.iso | en | |
dc.publisher | Society for Industrial and Applied Mathematics | |
dc.title.en | Sharp large deviations for the fractional Ornstein-Uhlenbeck process | |
dc.type | Article de revue | |
dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
dc.identifier.arxiv | 0810.4491 | |
bordeaux.journal | SIAM Theory of Probability and its Applications | |
bordeaux.page | 575-610 | |
bordeaux.volume | 55 | |
bordeaux.issue | 4 | |
bordeaux.peerReviewed | oui | |
hal.identifier | hal-00386239 | |
hal.version | 1 | |
hal.popular | non | |
hal.audience | Internationale | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-00386239v1 | |
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