Sharp large deviations for the fractional Ornstein-Uhlenbeck process

2008/10/24 by Bernard Bercu, Bercu, Bernard, Laure Coutin +3
Mathematics · #60F10 #60G15 #60J65 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60F10 #msc:60G15 #msc:60J65

paper · pdf · doi:10.48550/arxiv.0810.4491

arxiv created 2008/10/24 · arxiv updated 2009/12/01

Abstract

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.

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