Sharp large deviations for the fractional Ornstein-Uhlenbeck process

Details Sharp large deviations for the fractional Ornstein-Uhlenbeck process Sharp large deviations for the fractional Ornstein-Uhlenbeck process

2008-10-24

arxiv.org/abs/0810.4491v1

Mathematics

Probability

Scientific paper

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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