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Sharp large deviations for the fractional Ornstein-Uhlenbeck process

hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierAdvanced Learning Evolutionary Algorithms [ALEA]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorBERCU, Bernard
hal.structure.identifierInstitut de Mathématiques de Toulouse UMR5219 [IMT]
dc.contributor.authorCOUTIN, Laure
hal.structure.identifierInstitut de Mathématiques de Toulouse UMR5219 [IMT]
dc.contributor.authorSAVY, Nicolas
dc.date.created2008-10-24
dc.date.issued2011
dc.identifier.issn1095-7219
dc.description.abstractEnWe 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.isoen
dc.publisherSociety for Industrial and Applied Mathematics
dc.title.enSharp large deviations for the fractional Ornstein-Uhlenbeck process
dc.typeArticle de revue
dc.subject.halMathématiques [math]/Probabilités [math.PR]
dc.identifier.arxiv0810.4491
bordeaux.journalSIAM Theory of Probability and its Applications
bordeaux.page575-610
bordeaux.volume55
bordeaux.issue4
bordeaux.peerReviewedoui
hal.identifierhal-00386239
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00386239v1
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