{"@context":["https://w3id.org/fdo/context/v1",{"schema":"https://schema.org/","prov":"http://www.w3.org/ns/prov#","fdo":"https://w3id.org/fdo/vocabulary/"}],"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q2882298","@type":"DigitalObject","kernel":{"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q2882298","digitalObjectType":"https://schema.org/ScholarlyArticle","primaryIdentifier":"mardi:Q2882298","kernelVersion":"v1","immutable":true,"modified":"2026-04-03T14:59:20Z"},"profile":{"@context":"https://schema.org","@type":"ScholarlyArticle","@id":"https://portal.mardi4nfdi.de/entity/Q2882298","name":"Sharp large deviations for the fractional Ornstein-Uhlenbeck process","headline":"Sharp large deviations for the fractional Ornstein-Uhlenbeck process","description":"scientific article; zbMATH DE number 6030169","url":"https://portal.mardi4nfdi.de/entity/Q2882298","datePublished":"2012-05-04","author":[{"@id":"https://portal.mardi4nfdi.de/entity/Q188420"},{"@id":"https://portal.mardi4nfdi.de/entity/Q180855"},{"@id":"https://portal.mardi4nfdi.de/entity/Q411548"}],"publisher":[{"@id":"https://portal.mardi4nfdi.de/entity/Q6496897"}],"identifier":{"@type":"PropertyValue","propertyID":"doi","value":"10.1137/S0040585X97985108","url":"https://doi.org/10.1137/S0040585X97985108"},"sameAs":["https://doi.org/10.1137/S0040585X97985108"],"comment":"The authors study large deviation properties of some functionals associated with the fractional Ornstein-Uhlenbeck process \\(dX_t= \\theta X_tdt +dW_t^H,\\;t \\geq 0,\\;X_0=0,\\;\\theta < 0\\), driven by a fractional Brownian motion \\(W^H\\) with Hurst index \\(H\\in (\\frac{1}{2},1).\\) Suppose the process \\(\\{X_t, t \\geq 0\\}\\) is observed over the interval \\([0,T].\\) It is shown that the maximum likelihood estimator \\(\\hat \\theta_T\\) is strongly consistent, asymptotically normal after suitable normalization and satisfies the large deviation principle with good rate function \\(I(c)= -\\frac{(c-\\theta)^2}{4c}\\) if \\(c <\\frac{\\theta}{3}\\) and \\(I(c)= 2c-\\theta \\) if \\(c \\geq \\frac{\\theta}{3}.\\) The authors also investigate the large deviation property for the ``energy'' functional for the process \\(\\{X_t, 0 \\leq t \\leq T\\}.\\)"},"provenance":{"prov:generatedAtTime":"2026-04-03T14:59:20Z","prov:wasAttributedTo":"MaRDI Knowledge Graph"}}