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arXiv · 0810.4491

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

Bernard Bercu·Laure Coutin·Nicolas Savy
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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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Bernard Bercu, Laure Coutin, Nicolas Savy. 2008-10-24. Sharp large deviations for the fractional Ornstein-Uhlenbeck process. https://arxiv.org/abs/0810.4491

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