Sharp large deviations for the drift parameter of the explosive Cox-Ingersoll-Ross process

2020 ◽  
Vol 65 (3) ◽  
pp. 583-601
Author(s):  
Marie du Roy de Chaumaray ◽  
Marie du Roy de Chaumaray
Keyword(s):  
Large Deviations ◽  
Sharp Large Deviations ◽  
Drift Parameter

В статье рассматривается взрывной процесс Кокса-Ингерсолла-Росса. Устанавливается резкий принцип больших уклонений для оценки максимального правдоподобия параметра сноса.

scholarly journals Sharp large deviations for the fractional Ornstein - Uhlenbeck process

2010 ◽  
Vol 55 (4) ◽  
pp. 732-771 ◽  
Author(s):  
Bernard Bercu ◽  
Bernard Bercu ◽  
Laure Coutin ◽  
Laure Coutin ◽  
Nicolas Savy ◽  
...  
Keyword(s):  
Large Deviations ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process ◽  
Sharp Large Deviations

scholarly journals On sharp large deviations for sums of random vectors and multidimensional Laplace approximation

2004 ◽  
Vol 49 (4) ◽  
pp. 743-774
Author(s):  
Philippe Barbe ◽  
Philippe Barbe ◽  
Michel Broniatowski ◽  
Michel Broniatowski
Keyword(s):  
Large Deviations ◽  
Laplace Approximation ◽  
Random Vectors ◽  
Sharp Large Deviations

scholarly journals Sharp Large Deviations for Hyperbolic Flows

2020 ◽  
Vol 21 (12) ◽  
pp. 3791-3834
Author(s):  
Vesselin Petkov ◽  
Luchezar Stoyanov
Keyword(s):  
Large Deviations ◽  
Hyperbolic Flows ◽  
Sharp Large Deviations

scholarly journals Sharp Large Deviations for the Ornstein - Uhlenbeck Process

2001 ◽  
Vol 46 (1) ◽  
pp. 74-93 ◽  
Author(s):  
Bernard Bercu ◽  
Bernard Bercu ◽  
Alain Rouault ◽  
Alain Rouault
Keyword(s):  
Large Deviations ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process ◽  
Sharp Large Deviations

scholarly journals Sharp large deviations for Gaussian quadratic forms with applications

2000 ◽  
Vol 4 ◽  
pp. 1-24 ◽  
Author(s):  
Bernard Bercu ◽  
Fabrice Gamboa ◽  
Marc Lavielle
Keyword(s):  
Large Deviations ◽  
Quadratic Forms ◽  
Sharp Large Deviations
Sign in / Sign up

Export Citation Format

Share Document