Drift parameter estimation for nonlinear reflected stochastic differential equations
| Autor: | Yuecai, Han, Dingwen, Zhang |
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| Rok vydání: | 2022 |
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| Druh dokumentu: | Working Paper |
| Popis: | We study the maximum likehood estimator and least squares estimator for drift parameters of nonlinear reflected stochastic differential equations based on continuous observations. Under some regular conditions, we obtain the consistency and give the asymptotic distributions of the two estimators. We briefly remark that our methods could be applied the the reflected stochastic processes with only one-sided reflecting barrier spontaneously. Numerical studies show that the proposed estimators are adequate for practical use. Comment: arXiv admin note: substantial text overlap with arXiv:2205.00141; text overlap with arXiv:2205.00139 |
| Databáze: | arXiv |
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