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Research

Probability & Statistics Seminar

Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps

Speaker: ZHAO Yanhui
Time: May 24, 2017, 10:00-11:00
Location: Conference Room 706, Service Center of Scientific Research and Teaching

Abstract:

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.