Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes

DOI10.1016/J.SPL.2012.03.018MaRDI QIDQ449406zbMATH OpenOpenAlexFDO

Authors Xuewei Yang, Lijun Bo

Publication date 30 August 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.03.018

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

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• First passage times of reflected generalized Ornstein-Uhlenbeck processes
• Loss Rates for Lévy Processes with Two Reflecting Barriers
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• On the optimal dividend problem for a spectrally negative Lévy process
• Russian and American put options under exponential phase-type Lévy models.
• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• Some integral functionals of reflected SDEs and their applications in finance
• Stability properties of constrained jump-diffusion processes
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Cited in

(16)

• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
• Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises
• Sequential testing of hypotheses about drift for Gaussian diffusions
• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process
• Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes
• Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes
• Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
• On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process
• Parameter estimation for generalized diffusion processes with reflected boundary
• Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process
• Sequential maximum likelihood estimation for the hyperbolic diffusion process

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