| 摘要: |
| 本文研究了矩阵值Ornstein-Uhlenbeck过程的大偏差问题.通过构造指数鞅,得到了矩阵值Ornstein-Uhlenbeck过程的经验谱过程的大偏差上界,推广了厄米特布朗运动相应的结果. |
| 关键词: 大偏差 Ornstein-Uhlenbeck过程 经验过程 |
| DOI： |
| 分类号:O211.62 |
| 基金项目:Supported by the Teachers' Scientiflc Research Project of Jiangsu Normal University (12XLR005) |
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| LARGE DEVIATION UPPER BOUND FOR THE LAW OF MATRIX-VALUED ORNSTEIN-UHLENBECK PROCESS |
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CHEN Lei
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School of Mathematics and Statistics, Jiangsu Normal University, Xuzhou 221116, China
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| Abstract: |
| In this paper, we study the large deviation problem for the matrixvalued Ornstein Uhlenbeck processes. By constructing the exponedtial martingale, we obtain a large deviation upper bound for its empirical process, which extends the corresponding result for Hermitian Brownian motion. |
| Key words: large deviation Ornstein-Uhlenbeck process empirical process |
