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 theoremunder suitable hypotheses. In this paper we prove large (and moderate) deviation results associated with this central limit theorem.
Macci, C., Pacchiarotti, B. (2017). Asymptotic results for finite superpositions of Ornstein–Uhlenbeck processes. STOCHASTIC ANALYSIS AND APPLICATIONS, 35(6), 954-979 [10.1080/07362994.2017.1339614].
Asymptotic results for finite superpositions of Ornstein–Uhlenbeck processes
Macci, C;Pacchiarotti, B.
2017-01-01
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 theoremunder suitable hypotheses. In this paper we prove large (and moderate) deviation results associated with this central limit theorem.File in questo prodotto:
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