On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes

摘要

We consider the full expansion of the tail probability for log-likelihood ratio of some diffusion process by using change of measure. As special cases, we get the large deviation expansion of Ornstein-Uhlenbeck process and alpha-Wiener bridge. (C) 2019 Published by Elsevier B.V.