Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
成果类型：
Article
署名作者：
Donati-Martin, C; Rouault, A; Yor, M; Zani, M
署名单位：
Universite Paris Cite; Sorbonne Universite; Universite Paris Saclay; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris-Est-Creteil-Val-de-Marne (UPEC)
刊物名称：
PROBABILITY THEORY AND RELATED FIELDS
ISSN/ISSBN：
0178-8051
DOI：
10.1007/s00440-004-0338-y
发表日期：
2004
页码：
261-289
关键词：
摘要：
Let (X-t((delta)),tgreater than or equal to0) be the BESQ(delta) process starting at deltax. We are interested in large deviations as delta --> infinity for the family {delta(-1)X(t)((delta)), tless than or equal toT}(delta), - or, more generally, for the family of squared radial OUdelta process. The main properties of this family allow us to develop three different approaches: an exponential martingale method, a Cramer-type theorem, thanks to a remarkable additivity property, and a Wentzell-Freidlin method, with the help of McKean results on the controlled equation. We also derive large deviations for Bessel bridges.