Optimal Berry-Esséen bound for Maximum likelihood estimation of the drift parameter in $\alpha$-Brownian bridge

Khalifa Es-Sebaiy, Jabrane Moustaaid

Let $T>0,\alpha >\frac{1}{2}$. In the present paper we consider the $\alpha$-Brownian bridge defined as $d{X}_t=-\alpha \frac{X_t}{T-t}dt+d{W}_t,0\le t<T$, where $W$ is a standard Brownian motion. We i…