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Moderate Deviations for Drift Parameter Estimations in Reflected Ornstein–Uhlenbeck Process
Journal of Theoretical Probability ( IF 0.8 ) Pub Date : 2021-04-19 , DOI: 10.1007/s10959-021-01096-3
Hui Jiang , Qingshan Yang

In this paper, we study the asymptotic properties of drift parameter estimations in reflected Ornstein–Uhlenbeck process, and establish their moderate deviations in both cases with one-sided barrier and two-sided barriers. The main methods consist of regenerative process techniques and the strong Markov property, as well as moderate deviations for martingales.



中文翻译:

反射Ornstein–Uhlenbeck过程中漂移参数估计的中度偏差

在本文中,我们研究了反射的Ornstein–Uhlenbeck过程中漂移参数估计的渐近性质,并建立了在有单边壁垒和两边壁垒的两种情况下它们的适度偏差。主要方法包括再生工艺技术和强大的马尔可夫特性,以及mar的适度偏差。

更新日期:2021-04-19
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