On drift parameter estimation for reflected fractional Ornstein–Uhlenbeck processes-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

On drift parameter estimation for reflected fractional Ornstein–Uhlenbeck processes

Published:2016-02-09 Issue:5 Volume:88 Page:751-778
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Lee Chihoon¹²,Song Jian³⁴

Affiliation:

1. School of Business, Stevens Institute of Technology, Hoboken, NJ, USA.

2. Department of Statistics, Colorado State University, Fort Collins, CO, USA.

3. Department of Mathematics, University of Hong Kong, Hong Kong.

4. Department of Statistics & Actuarial Science, University of Hong Kong, Hong Kong.

Funder

Army Research Office

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2016.1143472

Reference38 articles.

1. On a reflected Ornstein-Uhlenbeck process with an application

2. Sharp large deviations for the fractional Ornstein - Uhlenbeck process

3. Stochastic Calculus for Fractional Brownian Motion and Applications

4. Parameter Estimation in Stochastic Differential Equations

5. On the conditional default probability in a regulated market: a structural approach

Cited by 11 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Moderate Deviations for Parameter Estimation in the Fractional Ornstein–Uhlenbeck Processes with Periodic Mean;Acta Mathematica Sinica, English Series;2023-12-08

2. Piecewise-Tunneled Captive Processes and Corridored Random Particle Systems;Journal of Statistical Physics;2022-11-02

3. Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes;Stochastics;2022-03-17

4. An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model;Research in International Business and Finance;2021-10

5. Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations;Stochastics and Dynamics;2021-05-18

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3