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Teoriya Veroyatnostei i ee Primeneniya, 2001, Volume 46, Issue 1, Pages 74–93
DOI: https://doi.org/10.4213/tvp3952 (Mi tvp3952) 		 
This article is cited in 70 scientific papers (total in 70 papers)

Sharp Large Deviations for the Ornstein–Uhlenbeck Process

B. Bercu, A. Rouault

Paris-Sud University 11
Full-text PDF (1877 kB) Citations (70)
DOI: https://doi.org/10.4213/tvp3952
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.
Keywords: large deviations, Ornstein–Uhlenbeck process, likelihood estimation.
Received: 27.10.1998
Revised: 05.06.2000
English version:
Theory of Probability and its Applications, 2002, Volume 46, Issue 1, Pages 1–19
DOI: https://doi.org/10.1137/S0040585X97978737
Bibliographic databases:
Language: English
Citation: B. Bercu, A. Rouault, “Sharp Large Deviations for the Ornstein–Uhlenbeck Process”, Teor. Veroyatnost. i Primenen., 46:1 (2001), 74–93; Theory Probab. Appl., 46:1 (2002), 1–19
Citation in format AMSBIB
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\by B.~Bercu, A.~Rouault
\paper Sharp Large Deviations for the Ornstein--Uhlenbeck Process
\jour Teor. Veroyatnost. i Primenen.
\yr 2001
\vol 46
\issue 1
\pages 74--93
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\crossref{https://doi.org/10.4213/tvp3952}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1968706}
\zmath{https://zbmath.org/?q=an:1101.60320}
\transl
\jour Theory Probab. Appl.
\yr 2002
\vol 46
\issue 1
\pages 1--19
\crossref{https://doi.org/10.1137/S0040585X97978737}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000174464700001}
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  • https://doi.org/10.4213/tvp3952
  • https://www.mathnet.ru/eng/tvp/v46/i1/p74
    • This publication is cited in the following 70 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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