Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model

Khalifa Es-Sebaiy, Mohammed Es. Sebaiy

We study the problem of parameter estimation for a non-ergodic Gaussian Vasicek-type model defined as $d{X}_t=(\mu +\theta X_t)dt+d{G}_t,t\ge 0$ with unknown parameters $\theta >0$ and $μ\in\mathbb…