Sharp large deviations for the fractional Ornstein-Uhlenbeck process
Probability
2008-12-19 v1
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.
Cite
@article{arxiv.0810.4491,
title = {Sharp large deviations for the fractional Ornstein-Uhlenbeck process},
author = {Bernard Bercu and Laure Coutin and Nicolas Savy},
journal= {arXiv preprint arXiv:0810.4491},
year = {2008}
}