Parameter estimation for generalized diffusion processes with reflected boundary

DOI10.1007/s11425-015-5112-3zbMath1345.60026OpenAlexW2225394799MaRDI QIDQ2628921

Qing Pei Zang, Zhang, Lixin

Publication date: 19 July 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-015-5112-3

zbMATH Keywords

asymptotic normalitymaximum likelihood estimationGirsanov formulastrong consistencySkorokhod embeddingreflected Ornstein-Uhlenbeck processDubins-Schwartz Brownian motion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15) Diffusion processes (60J60)

Related Items (7)

Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes ⋮ Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps ⋮ Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes

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