Some limiting results of reflected Ornstein-Uhlenbeck processes with two-sided barriers
Bull. Korean Math. Soc. 2017 Vol. 54, No. 2, 573-581
Published online March 9, 2017
Printed March 31, 2017
Chenglian Zhu
Huaiyin Normal University
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.
Keywords : reflected Ornstein-Uhlenbeck processes, maximum likelihood estimation, ergodic
MSC numbers : Primary 60F15; Secondary 60F05
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