Timeline for Large deviation bound for O-U process
Current License: CC BY-SA 3.0
10 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Aug 18, 2017 at 21:18 | vote | accept | Nikolayevich | ||
| Jul 18, 2017 at 3:13 | comment | added | Ian | @Koltchinskii My answer is already along these lines; one derives the LDP for the scaled Wiener process and then uses a Girsanov type argument to reduce white noise perturbations of a dynamical system to the Wiener process case. | |
| Jul 18, 2017 at 1:24 | comment | added | Nikolayevich | I actually wondered if we can resolve this problem using Girsanov transformation type of argument ... | |
| Jul 13, 2017 at 22:25 | comment | added | ofer zeitouni | The asymptotics you wrote is meaningful when $T/z^2\to 0$. To me this looks like a relation. Anyway, you already got two answers in different asymptotic regimes, unless you clarify what you are after let me guess that you won't get a third. | |
| Jul 13, 2017 at 17:56 | comment | added | Nikolayevich | There is no relations, we want nonasymptotic result analogous to the Brownian motion version in the (new) P.S. part in the question | |
| Jul 13, 2017 at 17:55 | history | edited | Nikolayevich | CC BY-SA 3.0 |
added 340 characters in body
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| Jul 12, 2017 at 4:26 | comment | added | ofer zeitouni | What is the relation between $T$ and $z$ in the asymptotic you are after? | |
| Jul 11, 2017 at 21:55 | answer | added | Nate Eldredge | timeline score: 3 | |
| Jul 11, 2017 at 19:48 | answer | added | Ian | timeline score: 3 | |
| Jul 11, 2017 at 18:27 | history | asked | Nikolayevich | CC BY-SA 3.0 |