Trajectory fitting estimation for nonlinear stochastic differential equations with reflection

DOI10.1214/24-BJPS599MaRDI QIDQ6128491zbMATH OpenOpenAlexFDO

Authors Xuekang Zhang, Guangjun Shen

Publication date 15 April 2024

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/24-bjps599

zbMATH Keywords

asymptotic distributionsconsistencynonlinear stochastic differential equationsreflectiontrajectory fitting estimation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Control/observation systems governed by ordinary differential equations (93C15) Stochastic systems in control theory (general) (93E03)

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Cited in

(2)

• Parameter estimation for Cox-Ingersoll-Ross process with two-sided reflections
• Asymptotic behavior of improved trajectory fitting estimators for Cox-Ingersoll-Ross model

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