Sharp Large Deviations for the Ornstein--Uhlenbeck Process

2002/01/01 by Bernard Bercu, B. Bercu, Alain Rouault +1 · 3 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Probability and Risk Models #Random Matrices and Applications #Stochastic processes and financial applications

paper · doi:10.1137/s0040585x97978737

crossref issued 2002/01/01 · crossref published 2002/01/01 · crossref published-print 2002/01/01 · openalex publication_date 2002/01/01 · crossref created 2003/06/11 · crossref deposited 2017/06/15 · openalex created_date 2025/10/10 · crossref indexed 2026/07/31 · openalex updated_date 2026/08/01

Abstract

We establish sharp large deviation principles for well-known random variables associated with the Ornstein--Uhlenbeck process, such as the energy, the maximum likelihood estimator of the drift parameter, and the log-likelihood ratio.

Citations

• Statistics of Random Processes

Cited by

• Large deviations and concentration inequalities for the Ornstein-Uhlenbeck process without tears
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
• Affine Point Processes: Refinements to Large-Time Asymptotics