非线性反射随机微分方程的漂移参数估计
Drift parameter estimation for nonlinear reflected stochastic differential equations
摘要：
研究了基于连续观测的非线性反射型随机微分方程漂移参数的极大似然估计和最小二乘估计。在一定的正则条件下，我们得到了这两个估计量的相合性并给出了它们的渐近分布。我们简要地指出，我们的方法可以应用于只有单侧反射壁的反射随机过程。数值研究表明，所提出的估计是足够的实际应用。
英文摘要：
We study the maximum likehood estimator and least squares estimator for drift parameters of nonlinear reflected stochastic differential equations based on continuous observations. Under some regular conditions, we obtain the consistency and give the asymptotic distributions of the two estimators. We briefly remark that our methods could be applied the the reflected stochastic processes with only one-sided reflecting barrier spontaneously. Numerical studies show that the proposed estimators are adequate for practical use.
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