Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastic Analysis and Applications Pub Date : 2021-07-25 DOI:10.1080/07362994.2021.1950013

Yajuan Pan, Hui Jiang

引用次数: 0

Abstract

ABSTRACT In this article, for some quadratic functionals of linear self-repelling diffusion process, we study the asymptotic properties, including the deviation inequalities and Cramér-type moderate deviations. The main methods consist of the deviation inequalities for multiple Wiener-Itô integrals, as well as the asymptotic analysis techiniques. As applications, (self-normalized) Cramér-type moderate deviations for the log-likelihood ratio process and drift parameter estimator are obtained.

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线性自排斥扩散过程二次泛函的渐近性质及其应用

摘要本文研究了一类线性自排斥扩散过程的二次泛函的渐近性质，包括偏差不等式和cram中度偏差。主要方法包括多重Wiener-Itô积分的偏差不等式，以及渐近分析技术。作为应用，得到了对数似然比过程和漂移参数估计器的(自归一化)cram型中等偏差。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Analysis and Applications 数学-统计学与概率论

CiteScore

2.70

自引率

7.70%

发文量

审稿时长

6-12 weeks

期刊介绍： Stochastic Analysis and Applications presents the latest innovations in the field of stochastic theory and its practical applications, as well as the full range of related approaches to analyzing systems under random excitation. In addition, it is the only publication that offers the broad, detailed coverage necessary for the interfield and intrafield fertilization of new concepts and ideas, providing the scientific community with a unique and highly useful service.