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摘要
The Ornstein-Uhlenbeck process with reflection, which has been the subject of an enormous body of literature, both theoretical and applied, is a process that returns continuously and immediately to the interior of the state space when it attains a certain boundary. In this work, we are mainly concerned with the study of the asymptotic behavior of the trajectory fitting estimator for nonergodic reflected Ornstein-Uhlenbeck processes, including strong consistency and asymptotic distribution. Moreover, we also prove that this kind of estimator for ergodic reflected Ornstein-Uhlenbeck processes does not possess the property of strong consistency.
- 出版日期2019-3
- 单位淮阴师范学院; 浙江大学
