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Some limiting results of reflected Ornstein-Uhlenbeck processes with two-sided barriers

Chenglian Zhu
대한수학회 (The Korean Mathematical Society)|2017.03|대한수학회보 (Bulletin of the KMS)|제54권 제2호|pp. 573-581

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참고문헌

키워드

maximum likelihood estimationergodicreflected Ornstein-Uhlenbeck processes
주제분류수학

초록

Reflected Ornstein-Uhlenbeck process is a process that returns continuously and immediately to the interior of the state space when it attains a certain boundary. In this work, we are concerned with the study of asymptotic behaviours of parametric estimation for ergodic reflected Ornstein-Uhlenbeck processes with two-sided barriers. Moreover, we also focus on the relations between regulators and the local time process.

Abstract

Reflected Ornstein-Uhlenbeck process is a process that returns continuously and immediately to the interior of the state space when it attains a certain boundary. In this work, we are concerned with the study of asymptotic behaviours of parametric estimation for ergodic reflected Ornstein-Uhlenbeck processes with two-sided barriers. Moreover, we also focus on the relations between regulators and the local time process.

참고문헌 (25)

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