4 papers
Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
Yaozhong Hu, Yuejuan Xi
Assuming that a threshold Ornstein-Uhlenbeck process is observed at discrete time instants, we propose generalized moment estimators to estimate the parameters. Our theoretical bas…
The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
Zhenwen Zhao, Yuejuan Xi
In this paper we consider a (reflected) Brownian motion with broken drift hitting a random boundary. Some dedicated calculations allow us to obtain the formula on the joint Laplace…
Estimation of all parameters in the reflected Orntein-Uhlenbeck process from discrete observations
Yaozhong Hu, Yuejuan Xi
Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion param…
Local time of infinite time horizon Brownian bridge
Yaozhong Hu, Yuejuan Xi
We introduce an infinite time horizon Brownian bridge which is determined by a stochastic Langevin equation with time dependent drift coefficient. We show that this process goes to…