Trajectory fitting estimation for nonlinear stochastic differential equations with reflection-Reference-Cited by-同舟云学术

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Trajectory fitting estimation for nonlinear stochastic differential equations with reflection

Published:2024-03-01 Issue:1 Volume:38 Page:
ISSN:0103-0752
Container-title:Brazilian Journal of Probability and Statistics
language:
Short-container-title:Braz. J. Probab. Stat.

Author:

Zhang Xuekang¹,Shen Guangjun²

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. Department of Statistics, Anhui Normal University, Wuhu 241002, China

Publisher

Institute of Mathematical Statistics

Reference26 articles.

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

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

3. 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.

4. Harrison, M. (1986). Brownian Motion and Stochastic Flow Systems. New York: Join Wiley Sons.

5. Jiang, H. and Dong, X. (2015). Parameter estimation for the non-stationary Ornstein–Uhlenbeck process with linear drift. Statistical Papers 56, 257–268.

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