Abstract Let α, T> 0. We study the asymptotic properties of a least squares estimator for the
parameter α of a fractional bridge defined as d X_ t=-α\, X_ t Tt\, d t+ d B_ t, 0≤ t< T, where B …

Abstract We study Karhunen-Loève expansions of the process (X t (α)) t∈ 0, T) given by the
stochastic differential equation dX_t^(α)=-α Tt X_t^(α) dt+ dB_t, t ∈ 0, T), with the initial …

Let us consider the process given by the SDE, t∊[0, T), where α∊ ℝ, T∊(0,∞), and (B t) t≥ 0
is a standard Wiener process. In case of α> 0, the process X (α) is known as an α-Wiener …

This paper studies hypothesis testing in time inhomogeneous diffusion processes. With the
help of large and moderate deviations for the log-likelihood ratio process, we give the …

Abstract Let α, T> 0 α, T> 0. We investigate the asymptotic properties of a least squares
estimator (LSE) for the parameter α α of a sub-fractional bridge defined as dX_t=-α X_t Tt dt+ …

Sharp large deviations for the log-likelihood ratio of an α-Brownian bridge - ScienceDirect
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Bias-correction of the maximum likelihood estimator for the α-Brownian bridge - ScienceDirect
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Large deviations for parameter estimators of α-Brownian bridge - ScienceDirect Skip to
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In this paper, we study the asymptotic behaviour, including Cramér-type moderate
deviations and optimal Berry-Esseen bounds for maximum likelihood estimator of drift …

We consider the Cramér-type moderate deviations for the log-likelihood ratio of the
inhomogeneous Ornstein–Uhlenbeck processes in the stationary and explosive cases. The …