Maximum likelihood estimation for the reflected stochastic linear system with a large signal-Reference-Cited by-同舟云学术

Maximum likelihood estimation for the reflected stochastic linear system with a large signal

Published:2023-06-01 Issue:2 Volume:37 Page:
ISSN:0103-0752
Container-title:Brazilian Journal of Probability and Statistics
language:
Short-container-title:Braz. J. Probab. Stat.

Author:

Zhang Xuekang¹,Shu Huisheng²

Affiliation:

1. 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

2. College of Science, Donghua University, Shanghai, 201620, China

Publisher

Institute of Mathematical Statistics

Subject

Statistics and Probability

Reference31 articles.

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2. Bishwal, J. (2008). Parameter Estimation in Stochastic Differential Equations. Berlin Heidelberg: Springer.

3. Bo, L., Wang, Y. and Yang, X. (2011). Some integral functionals of reflected SDEs and their applications in finance. Quantitative Finance 11, 343–348.

4. Bo, L., Wang, Y., Yang, X. and Zhang, G. (2011). Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes. Journal of Statistical Planning and Inference 141, 588–596.

5. Borovkov, A. (1984). Asymptotic Methods in Queueing Theory. New York: Wiley.

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