Asymptotic results for finite superpositions of Ornstein–Uhlenbeck processes. Issue 6 (2nd November 2017)
- Record Type:
- Journal Article
- Title:
- Asymptotic results for finite superpositions of Ornstein–Uhlenbeck processes. Issue 6 (2nd November 2017)
- Main Title:
- Asymptotic results for finite superpositions of Ornstein–Uhlenbeck processes
- Authors:
- Macci, Claudio
Pacchiarotti, Barbara - Abstract:
- ABSTRACT: A model of intermittency based on superposition of Lévy driven Ornstein–Uhlenbeck processes is studied in [6 ]. In particular, as shown in Theorem 5.1 in that paper, finite superpositions obey a (sample path) central limit theorem under suitable hypotheses. In this paper we prove large (and moderate) deviation results associated with this central limit theorem.
- Is Part Of:
- Stochastic analysis and applications. Volume 35:Issue 6(2017)
- Journal:
- Stochastic analysis and applications
- Issue:
- Volume 35:Issue 6(2017)
- Issue Display:
- Volume 35, Issue 6 (2017)
- Year:
- 2017
- Volume:
- 35
- Issue:
- 6
- Issue Sort Value:
- 2017-0035-0006-0000
- Page Start:
- 954
- Page End:
- 979
- Publication Date:
- 2017-11-02
- Subjects:
- Large deviations -- moderate deviations -- stationary processes
60F10 -- 60G10
Stochastic analysis -- Periodicals
519.2205 - Journal URLs:
- http://www.tandfonline.com/toc/lsaa20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/07362994.2017.1339614 ↗
- Languages:
- English
- ISSNs:
- 0736-2994
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 8465.250000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 7720.xml