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, P. R. China
Abstract
In this paper, we study the asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift [Formula: see text], [Formula: see text], where [Formula: see text], and [Formula: see text] is a given standard Brownian motion. The law of iterated logarithm, consistency and asymptotic distributions of the estimators are discussed based on the continuous observation [Formula: see text] as [Formula: see text].
Funder
National Natural Science Foundation of China
Research Start-up Foundation of Introduce Talent of Anhui Polytechnic University
Publisher
World Scientific Pub Co Pte Ltd