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March 2016 A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
Qing-Pei Zang, Li-Xin Zhang
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J. Appl. Probab. 53(1): 22-32 (March 2016).

Abstract

A reflected Ornstein-Uhlenbeck process is a process that returns continuously and immediately to the interior of the state space when it attains a certain boundary. It is an extended model of the traditional Ornstein-Uhlenbeck process being extensively used in finance as a one-factor short-term interest rate model. Under some mild conditions, this paper is devoted to the study of the analogue of the Cramer-Rao lower bound of a general class of parameter estimation of the unknown parameter in reflected Ornstein-Uhlenbeck processes.

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Qing-Pei Zang. Li-Xin Zhang. "A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes." J. Appl. Probab. 53 (1) 22 - 32, March 2016.

Information

Published: March 2016
First available in Project Euclid: 8 March 2016

zbMATH: 1342.60136
MathSciNet: MR3471943

Subjects:
Primary: 60F15
Secondary: 62F12

Rights: Copyright © 2016 Applied Probability Trust

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Vol.53 • No. 1 • March 2016
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