数学杂志2024，Vol.44Issue(1)：35-46,12.
Cox-Ingersoll-Ross过程对数似然比的精细大偏差
SHARP LARGE DEVIATIONS FOR THE LOG-LIKELIHOOD RATIO OF THE COX-INGERSOLL-ROSS PROCESS
摘要
Abstract
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.关键词
Cox-Ingersoll-Ross过程/对数似然比/精细大偏差Key words
Cox-Ingersoll-Ross process/log-likelihood ratio/sharp large deviations分类
数理科学引用本文复制引用
吕亚倩,赵守江..Cox-Ingersoll-Ross过程对数似然比的精细大偏差[J].数学杂志,2024,44(1):35-46,12.基金项目
Supported by National Natural Science Foundation of China(11601267). （11601267）
