Moderate Deviations for Drift Parameter Estimations in Reflected Ornstein–Uhlenbeck Process

Hui Jiang () and Qingshan Yang ()
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Hui Jiang: Nanjing University of Aeronautics and Astronautics
Qingshan Yang: Northeast Normal University

Journal of Theoretical Probability, 2022, vol. 35, issue 2, 1262-1283

Abstract: Abstract In this paper, we study the asymptotic properties of drift parameter estimations in reflected Ornstein–Uhlenbeck process, and establish their moderate deviations in both cases with one-sided barrier and two-sided barriers. The main methods consist of regenerative process techniques and the strong Markov property, as well as moderate deviations for martingales.

Keywords: Maximum likelihood estimator; Moderate deviation principle; Reflected Ornstein–Uhlenbeck process; Regenerative process; 60F10; 60G40; 60G44; 62M05 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10959-021-01096-3

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