Bulletin of the
Korean Mathematical Society
BKMS

ISSN(Print) 1015-8634 ISSN(Online) 2234-3016

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Bull. Korean Math. Soc. 2017; 54(2): 573-581

Online first article March 9, 2017      Printed March 31, 2017

https://doi.org/10.4134/BKMS.b160198

Copyright © The Korean Mathematical Society.

Some limiting results of reflected Ornstein-Uhlenbeck processes with two-sided barriers

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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