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Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process

2020-09-16 10:30

Speaker: Jiang Hui

unit:

Time: 14:30-15:30, October 16(Friday), 2020

Venue: The sixth teaching building of Weijin Road Campus of Tianjin University

starttime: 14:30-15:30, October 16(Friday), 2020

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In this talk, we study the asymptotic properties of drift parameter estimations in reflected Ornstein-Uhlenbeck process, and establish their moderate deviations in both cases with one-sided barrier and two-sided barriers. The main methods consist of regenerative process techniques and strong Markov property, as well as the moderate deviations for martingales. This is a joint work with Qingshan Yang.

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