Bulletin of the Korean Mathematical Society (대한수학회보)

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SOME LIMITING RESULTS OF REFLECTED ORNSTEIN-UHLENBECK PROCESSES WITH TWO-SIDED BARRIERS

  • Zhu, Chenglian (School of Mathematical Science Huaiyin Normal University)
  • Received : 2016.03.07
  • Published : 2017.03.31
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Abstract

Reflected Ornstein-Uhlenbeck process 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 concerned with the study of asymptotic behaviours of parametric estimation for ergodic reflected Ornstein-Uhlenbeck processes with two-sided barriers. Moreover, we also focus on the relations between regulators and the local time process.

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References

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