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Large and moderate deviations in testing time inhomogeneous diffusions. (English) Zbl 1216.62131
Summary: This paper studies hypothesis testing in time inhomogeneous diffusion processes. With the help of large and moderate deviations for the log-likelihood ratio process, we give the negative regions and obtain the decay rates of the error probabilities. Moreover, we apply our results to hypothesis testing in the \(\alpha\)-Wiener bridge.

MSC:
62M02 Markov processes: hypothesis testing
60F10 Large deviations
60J60 Diffusion processes
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