Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
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Cites work
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- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- A diffusion approximation for a Markovian queue with reneging
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Drift rate control of a Brownian processing system
- Euler scheme for reflected stochastic differential equations
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
- On the conditional default probability in a regulated market: a structural approach
- On the first passage times of reflected O-U processes with two-sided barriers
- On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
- On the transition densities for reflected diffusions
- Properties of the reflected Ornstein-Uhlenbeck process
- Some integral functionals of reflected SDEs and their applications in finance
Cited in
(27)- Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
- Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises
- Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations
- Nadaraya-Watson estimators for reflected stochastic processes
- Some limiting results of reflected Ornstein-Uhlenbeck processes with two-sided barriers
- Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
- A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
- Trajectory fitting estimation for reflected stochastic linear differential equations of a large signal
- Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes
- Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift
- On the Structure and Estimation of Reflection Positive Processes
- Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes
- Parameter estimation for generalized Ait-Sahalia-type interest rate model
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
- Maximum likelihood estimation for the reflected stochastic linear system with a large signal
- Maximum likelihood stochastic gradient estimation for Hammerstein systems with colored noise based on the key term separation technique
- Least squares estimators for reflected Ornstein–Uhlenbeck processes
- Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations
- Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process
- Parameter estimation for generalized diffusion processes with reflected boundary
- Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations
- First passage times of reflected generalized Ornstein-Uhlenbeck processes
- Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
- The hitting time density for a reflected Brownian motion
- Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
- Limit theorems for reflected Ornstein-Uhlenbeck processes
- Maximum likelihood estimation for the skew Ornstein-Uhlenbeck processes
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