This article is cited in 1 paper

Sharp large deviations for the drift parameter of the explosive Cox–Ingersoll–Ross process

M. du Roy de Chaumaray

CREST ENSAI, BRUZ cedex, France

Abstract: We consider an explosive Cox–Ingersoll–Ross process. We establish a sharp large deviation principle for the maximum likelihood estimator of its drift parameter.

Keywords: CIR process, parameters estimation, large deviations, maximum likelihood estimator.

Received: 20.06.2018
Revised: 29.07.2019
Accepted: 26.11.2019

DOI: 10.4213/tvp5236

 English version: Theory of Probability and its Applications, 2020, 65:3, 454–469

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