Rechercher

sur ce site


Accueil du site > Résumés des séminaires > Labo > Large deviations for the Ornstein-Uhlenbeck process without tears

Large deviations for the Ornstein-Uhlenbeck process without tears

The goal of this talk is to investigate large deviations for the maximum likelihood estimator of the drift parameter of the Ornstein-Uhlenbeck process without tears. We propose a new strategy to establish large deviation results which allows us, via a suitable transformation, to circumvent the classical difficulty of non-steepness. Our approach holds in the stable case where the process is positive recurrent as well as in the unstable and explosive cases where the process is respectively null recurrent and transient. We also extend our approach to the Ornstein-Uhlenbeck process with shift, as well as to the Cox-Ingersoll-Ross process. This is a joint work with Adrien Richou, Bordeaux University.

CMAP UMR 7641 École Polytechnique CNRS, Route de Saclay, 91128 Palaiseau Cedex France, Tél: +33 1 69 33 46 23 Fax: +33 1 69 33 46 46