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Large deviations for squared radial Ornstein-Uhlenbeck processes

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  • Zani, Marguerite

Abstract

In this paper, we state a large deviation principle (LDP) and sharp LDP for maximum likelihood estimators of drift coefficients of generalized squared radial Ornstein-Uhlenbeck processes. For that purpose, we present an LDP in a class of non-steep cases, where the Gärtner-Ellis theorem cannot be applied.

Suggested Citation

  • Zani, Marguerite, 2002. "Large deviations for squared radial Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 25-42, November.
    • Handle: RePEc:eee:spapps:v:102:y:2002:i:1:p:25-42
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    References listed on IDEAS

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    1. Chen, Ren-Raw & Scott, Louis O, 1992. "Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 613-636.
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    4. Ludger Overbeck, 1998. "Estimation for Continuous Branching Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 111-126, March.
    5. Overbeck, Ludger & Rydén, Tobias, 1997. "Estimation in the Cox-Ingersoll-Ross Model," Econometric Theory, Cambridge University Press, vol. 13(3), pages 430-461, June.
    6. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
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    Cited by:

    1. Huantian Xie & Nenghui Kuang, 2021. "Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1409-1417, December.
    2. Bercu, Bernard & Richou, Adrien, 2017. "Large deviations for the Ornstein–Uhlenbeck process without tears," Statistics & Probability Letters, Elsevier, vol. 123(C), pages 45-55.
    3. Demni, N. & Zani, M., 2009. "Large deviations for statistics of the Jacobi process," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 518-533, February.
    4. Gao, Fuqing & Jiang, Hui, 2009. "Moderate deviations for squared radial Ornstein-Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 79(11), pages 1378-1386, June.
    5. Marie Roy de Chaumaray, 2018. "Moderate deviations for parameters estimation in a geometrically ergodic Heston process," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 553-567, October.
    6. Li, Chenxu & Wu, Linjia, 2019. "Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 275(2), pages 768-779.
    7. Bercu, Bernard & Coutin, Laure & Savy, Nicolas, 2012. "Sharp large deviations for the non-stationary Ornstein–Uhlenbeck process," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3393-3424.

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