On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein–Uhlenbeck processes

Shoujiang Zhao and Qianqian Zhou

Statistics & Probability Letters, 2019, vol. 155, issue C, -

Abstract: We consider the full expansion of the tail probability for log-likelihood ratio of some diffusion process by using change of measure. As special cases, we get the large deviation expansion of Ornstein–Uhlenbeck process and α-Wiener bridge.

Keywords: Log-likelihood ratio; Large deviation expansion; Ornstein–Uhlenbeck process; α-Wiener bridge (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2019.108560

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