Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process

DOI10.1007/s10959-021-01096-3zbMath1492.60065OpenAlexW3155296239MaRDI QIDQ2135208

Hui Jiang, Qing-shan Yang

Publication date: 4 May 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-021-01096-3

zbMATH Keywords

maximum likelihood estimatorregenerative processstrong Markov propertymoderate deviation principlereflected Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Large deviations (60F10)

Related Items (2)

Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift

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