论文标题
非线性反射随机微分方程的漂移参数估计
Drift parameter estimation for nonlinear reflected stochastic differential equations
论文作者
论文摘要
我们研究了基于连续观测值的非线性反射随机微分方程的漂移参数的最大类似估计量和最小二乘估计量。在某些规律的条件下，我们获得一致性并给出两个估计量的渐近分布。我们简要地指出，我们的方法可以使用反射的随机过程，只有单侧反射屏障会自发反射。数值研究表明，所提出的估计器足以用于实际使用。
We study the maximum likehood estimator and least squares estimator for drift parameters of nonlinear reflected stochastic differential equations based on continuous observations. Under some regular conditions, we obtain the consistency and give the asymptotic distributions of the two estimators. We briefly remark that our methods could be applied the the reflected stochastic processes with only one-sided reflecting barrier spontaneously. Numerical studies show that the proposed estimators are adequate for practical use.
