Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
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Publication:2135208
This paper deals with the asymptotic properties of drift parameter estimations in reflected Ornstein-Uhlenbeck process. It is established by the authors that such estimations have moderate deviations in both cases with one-sided barrier and two-sided barriers. The main methods consist of regenerative process techniques and the strong Markov property, as well as moderate deviations for martingales. The construction uses the refinements of the results by \textit{L. Bo} et al. [Stoch. Dyn. 13, No. 1, Paper No. 1250014, 16 p. (2013; Zbl 1261.60080)] and \textit{Q.-P. Zang} and \textit{L.-X. Zhang} [J. Appl. Probab. 53, No. 1, 22--32 (2016; Zbl 1342.60136)].
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Cited in
(6)- Moderate deviations for squared radial Ornstein-Uhlenbeck process
- Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
- Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process
- 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
- Trajectory fitting estimation for reflected stochastic linear differential equations of a large signal
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