Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes (Q739497)

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Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes (English)

Journal of Mathematical Analysis and Applications

18 August 2016

reflected Ornstein-Uhlenbeck processes

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maximum likelihood estimation

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nonstationary

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jmaa.2016.06.067

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cites work

Russian and American put options under exponential phase-type Lévy models.

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Loss Rates for Lévy Processes with Two Reflecting Barriers

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Drift rate control of a Brownian processing system

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Stability properties of constrained jump-diffusion processes

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Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

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On the optimal dividend problem for a spectrally negative Lévy process

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Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations

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Some integral functionals of reflected SDEs and their applications in finance

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On the conditional default probability in a regulated market: a structural approach

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Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes

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First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries

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Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes

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FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES

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Some comments concerning a curious singularity

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Drift Parameter Estimation for a Reflected Fractional Brownian Motion Based on its Local Time

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Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations

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Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift

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Q4002114

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Statistical inference for ergodic diffusion processes.

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Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes

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On the transition densities for reflected diffusions

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Stochastic differential equations with reflecting boundary conditions

On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary

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Stochastic-Process Limits

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A diffusion approximation for a Markovian queue with reneging

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Properties of the reflected Ornstein-Uhlenbeck process

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A diffusion approximation for a GI/GI/1 queue with balking or reneging

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The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes

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Parameter estimation for generalized diffusion processes with reflected boundary

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Identifiers

zbMATH Open document ID

1381.62052

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DOI

10.1016/j.jmaa.2016.06.067

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Mathematics Subject Classification ID

Sitelinks

Mathematics(1 entry)

mardi Publication:739497