Large deviations for squared radial Ornstein-Uhlenbeck processes. (English) Zbl 1075.62535

Radial Ornstein-Uhlenbeck processes are considered in the paper. Their squares are expressed as strong solutions of a SDE containing two parameters: \(\delta >0\) and \(b\in {\mathbb R}\). The author investigates the maximum likelihood estimator of \((\delta ,b)\) and contributes with large deviations for it.


62F12 Asymptotic properties of parametric estimators
60F10 Large deviations
60J60 Diffusion processes
Full Text: DOI


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