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.
Type de document :
Article dans une revue
SIAM Theory of Probability and its Applications, 2011, 55 (4), pp.575-610
Bernard Bercu, Laure Coutin, Nicolas Savy. Sharp large deviations for the fractional Ornstein-Uhlenbeck process. SIAM Theory of Probability and its Applications, 2011, 55 (4), pp.575-610. <hal-00386239>