Large deviations in estimation of an Ornstein-Uhlenbeck model

Journal of Applied Probability

Volumn 36, Issue 1, 1999, Pages 60-77

  Florens Landais, Danielle ^a   Pham, Huyên ^b  

^a Centre National de la Recherche Scientifique   (France)

^b UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

Drift estimation; Large deviations; Ornstein Uhlenbeck diffusion process; Rate function

Indexed keywords

EID: 0033238251     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200016843     Document Type: Article

References (7)

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