Moderate deviations and central limit theorem for positive diffusions

Journal of inequalities and applications

Yumeng Li¹ 

关键词: moderate deviations;    central limit theorem;    CEV;    CIR;    60H10;    60F05;    60F10;   

DOI  :  10.1186/s13660-016-1031-2

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

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.

【 授权许可】

CC BY