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学术科研

Probability & Statistics Seminar

Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps

演讲者：赵辉艳广州大学经济与统计学院博士后
时间：2017-05-24 10:00-11:00
地点：科研教学服务中心706

讲座简介：

Reflected Ornstein-Uhlenbeck process is a process that returns immediately to the interior of the state space when it attains a certain boundary. In this paper, we investigate the maximum likelihood estimation for the reflected Ornstein-Uhlenbeck process with jumps based on continuous observations. We derive the likelihood functions by using semimartingale theory and then get explicit formulas for the estimators. Their strong consistence and asymptotic normality are proved by using the method of stochastic integration.