On drift parameter estimation for reflected fractional Ornstein–Uhlenbeck processes

DOI10.1080/17442508.2016.1143472zbMath1352.60058arXiv1303.6379OpenAlexW1515329050MaRDI QIDQ2833699

Jian Song, Chihoon Lee

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.6379

zbMATH Keywords

parameter estimationfractional Brownian motionmaximum likelihood estimatorfractional calculussequential maximum likelihood estimatorreflected fractional Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Strong limit theorems (60F15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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