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Sharp large deviations for the Ornstein-Uhlenbeck process. (English) Zbl 1101.60320

Theory Probab. Appl. 46, No. 1, 1-19 (2001) and Teor. Veroyatn. Primen. 46, No. 1, 74-93 (2001).
Summary: 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.

MSC:

60F10 Large deviations
60G10 Stationary stochastic processes
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