Trajectory fitting estimation for reflected stochastic linear differential equations of a large signal

被引：1

作者：

Zhang, Xuekang ^{[1
,2
]}

Shu, Huisheng ^{[3
]}

机构：

[1] Anhui Polytech Univ, Sch Math Phys & Finance, Minist Educ, Wuhu 241000, Peoples R China

[2] Anhui Polytech Univ, Key Lab Adv Percept & Intelligent Control High End, Minist Educ, Wuhu 241000, Peoples R China

[3] Donghua Univ, Coll Sci, Shanghai 201620, Peoples R China

来源：

JOURNAL OF APPLIED PROBABILITY | 2024年 / 61卷 / 03期

关键词：

trajectory fitting estimator; reflected stochastic linear differential equation; large signal; consistency; asymptotic distributions; DIFFUSION-APPROXIMATION; PARAMETRIC-ESTIMATION; ASYMPTOTIC-BEHAVIOR; REGULATED MARKET; PROBABILITY; DENSITIES; QUEUE;

D O I：

10.1017/jpr.2023.78

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we study the drift parameter estimation for reflected stochastic linear differential equations of a large signal. We discuss the consistency and asymptotic distributions of trajectory fitting estimator (TFE).

引用

页码：741 / 754

页数：14

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