ISSN:
1572-9311
Keywords:
large deviation
;
moderate deviation
;
quadratic variational process
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract For a diffusion process dXt = σdB t + b(t, Xt)dt with (σ t ) unknown, we study the large and moderate deviations of the estimator $$\bar \Theta _n (t): = \sum\nolimits_{k = 0}^{\left[ {nt} \right]} {(X_{k/n} - X_{(k - 1)/n} )^2 } $$ of the quadratic variational process $$\Theta (t) = \int_0^t {\sigma _s^2 {\text{d}}} s$$ .
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1009950229386
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