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MDP for integral functionals of fast and slow processes with averaging

Author

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  • Guillin, A.
  • Liptser, R.

Abstract

We establish the moderate deviation principle (MDP) for the family ofwhere 0

Suggested Citation

  • Guillin, A. & Liptser, R., 2005. "MDP for integral functionals of fast and slow processes with averaging," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1187-1207, July.
    • Handle: RePEc:eee:spapps:v:115:y:2005:i:7:p:1187-1207
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    References listed on IDEAS

    as
    1. Guillin, Arnaud, 2001. "Moderate deviations of inhomogeneous functionals of Markov processes and application to averaging," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 287-313, April.
    2. Miguel Arcones, 2002. "Moderate deviations for M-estimators," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 11(2), pages 465-500, December.
    3. Gao, Fuqing, 2001. "Moderate deviations for the maximum likelihood estimator," Statistics & Probability Letters, Elsevier, vol. 55(4), pages 345-352, December.
    4. Wu, Liming, 2001. "Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 205-238, February.
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    Cited by:

    1. Antoine Jacquier & Konstantinos Spiliopoulos, 2018. "Pathwise moderate deviations for option pricing," Papers 1803.04483, arXiv.org, revised Dec 2018.

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