Moderate deviations and central limit theorem for positive diffusions

Moderate deviations and central limit theorem for positive diffusions

Abstract In this paper, we establish a central limit theorem and a moderate deviation principle for the positive diffusions, including the CEV and CIR models. The proof is based on the exponential approximations theorem and Burkholder-Davis-Gundy’s inequality.

Bibliographic Details
Main Authors: Yumeng Li, Shuguang Zhang
Format: Article
Language:English
Published: SpringerOpen 2016-03-01
Series:Journal of Inequalities and Applications
Subjects:
moderate deviations
central limit theorem
CEV
CIR
Online Access:http://link.springer.com/article/10.1186/s13660-016-1031-2

Internet

http://link.springer.com/article/10.1186/s13660-016-1031-2

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