Cox-Ingersoll-Ross过程对数似然比的精细大偏差OACSTPCD
SHARP LARGE DEVIATIONS FOR THE LOG-LIKELIHOOD RATIO OF THE COX-INGERSOLL-ROSS PROCESS
本文研究了平稳状态下Cox-Ingersoll-Ross过程在原假设和备择假设下对数似然比的精细大偏差问题.利用测度变换和特征函数技巧,本文得到了对数似然比的完全展开式.
In this paper,for the Cox-Ingersoll-Ross process in the stationary case,we inves-tigate the sharp large deviations for the log-likelihood ratio under null hypothesis and alternative hypothesis.By using the change of measure and characteristic function techniques,we obtain the full expansion for the log-likelihood ratio.
吕亚倩;赵守江
三峡大学理学院,湖北宜昌 443002三峡大学理学院,湖北宜昌 443002
数学
Cox-Ingersoll-Ross过程对数似然比精细大偏差
Cox-Ingersoll-Ross processlog-likelihood ratiosharp large deviations
《数学杂志》 2024 (1)
35-46,12
Supported by National Natural Science Foundation of China(11601267).
评论