Open AccessSharp large deviations for the fractional Ornstein - Uhlenbeck process
Author(s) -
Bernard Bercu,
Laure Coutin,
Nicolas Savy
Publication year - 2010
Publication title -
teoriâ veroâtnostej i ee primeneniâ
Language(s) - English
Resource type - Journals
eISSN - 2305-3151
pISSN - 0040-361X
DOI - 10.4213/tvp4280
Subject(s) - ornstein–uhlenbeck process , fractional brownian motion , hurst exponent , estimator , mathematics , statistical physics , brownian motion , maximum likelihood , statistics , stochastic process , physics