Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps

作者：Hui, Jiang^*

来源：Statistics & Probability Letters, 2010, 80(17-18): 1297-1305.

DOI：10.1016/j.spl.2010.04.009

• Large deviation
• Levy process
• Moderate deviations
• Quadratic variational process

We consider the stochastic differential equation driven by Levy processes. Using discrete observations, moderate deviations for the threshold estimator of the quadratic variational process are studied. Moreover, we also obtain the functional moderate deviations.

• 出版日期2010-9-1
• 单位武汉大学; 南京航空航天大学