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Trajectory fitting estimation for reflected stochastic linear differential equations of a large signal

Part of: Parametric inference Markov processes

Published online by Cambridge University Press:  31 October 2023

Xuekang Zhang Open the ORCID record for Xuekang Zhang [Opens in a new window]  and
Huisheng Shu
Xuekang Zhang*
Affiliation:
Anhui Polytechnic University
Huisheng Shu*
Affiliation:
Donghua University
*
*Postal address: School of Mathematics-Physics and Finance, and Key Laboratory of Advanced Perception and Intelligent Control of High-end Equipment, Ministry of Education, Anhui Polytechnic University, Wuhu 241000, China. Email address: [email protected]
**Postal address: College of Science, Donghua University, Shanghai, 201620, China. Email address: [email protected]
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Abstract

In this paper we study the drift parameter estimation for reflected stochastic linear differential equations of a large signal. We discuss the consistency and asymptotic distributions of trajectory fitting estimator (TFE).

Keywords

trajectory fitting estimatorreflected stochastic linear differential equationlarge signalconsistencyasymptotic distributions

MSC classification

Primary: 62F12: Asymptotic properties of estimators
Secondary: 60J60: Diffusion processes
Type
Original Article
Information
Journal of Applied Probability , Volume 61 , Issue 3 , September 2024 , pp. 741 - 754
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Copyright
© The Author(s), 2023. Published by Cambridge University Press on behalf of Applied Probability Trust

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