| 1 |
B. Ata, J. M. Harrison, and L. A. Shepp, Drift rate control of a Brownian processing system, Ann. Appl. Probab. 15 (2005), no. 2, 1145-1160.
DOI
|
| 2 |
J. P. N. Bishwal, Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations, Statist. Probab. Lett. 43 (1999), no. 2, 207-215.
DOI
|
| 3 |
J. P. N. Bishwal, Parameter estimation in stochastic differential equations, Lecture Notes in Mathematics, vol. 1923, Springer, Berlin Heidelberg, New York, 2008.
|
| 4 |
L. Bo, D. Tang, Y. Wang, and X. Yang, On the conditional default probability in a regulated market: a structural approach, Quant. Finance 11 (2011), no. 12, 1695-1702.
DOI
|
| 5 |
L. Bo, Y. Wang, and X. Yang, Some integral functionals of reflected SDEs and their applications in finance, Quant. Finance 11 (2011), no. 3, 343-348.
DOI
|
| 6 |
S. D. Hanson, R. J. Myers, and J. H. Hilker, Hedging with futures and options under truncated cash price distribution, J. Agricultural Appl. Economics 31 (1999), 449-459.
DOI
|
| 7 |
L. Bo, Y. Wang, X. Yang, and G. Zhang, Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes, J. Statist. Plann. Inference 141 (2011), no. 1, 588-596.
DOI
|
| 8 |
P. D. Feigin, Some comments concerning a curious singularity, J. Appl. Prob. 16 (1979), 440-444.
DOI
|
| 9 |
R. S. Goldstein and W. P. Keirstead, On the term structure of interest rates in the presence of reflecting and absorbing boundaries, DOI:10.2139/ssrn.10.2139/ssrn.19840(1997).
|
| 10 |
M. Harrison, Brownian Motion and Stochastic Flow Systems, John Wiley and Sons, New York, 1986.
|
| 11 |
Y. Hu, C. Lee, M. H. Lee, and J. Song, Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations, preprint, 2013.
|
| 12 |
Z. Y. Huang, Foundation in Stochastic Calculus, Science Press, Beijing (in Chinese), 2001.
|
| 13 |
H. Jiang and X. Dong, Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift, Statist. Papers 56 (2015), no. 1, 257-268.
DOI
|
| 14 |
P. R. Krugman, Target zones and exchange rate dynamics, Quarterly J. Economics 106 (1991), 669-682.
DOI
|
| 15 |
Y. A. Kutoyants, Statiatical Inference for Ergodic Diffusion Processes, Springer, Lon-don, 2004.
|
| 16 |
V. Linetsky, On the transition densities for reflected diffusions, Adv. in Appl. Probab. 37 (2005), no. 2, 435-460.
DOI
|
| 17 |
D. Revuz and M. Yor, Continuous Martingales and Brownian Motion, Springer Verlag, Berlin, 1998.
|
| 18 |
P. L. Lions and A. S. Sznitman, Stochastic differential equations with reflecting boundary conditions, Comm. Pure Appl. Math. 37 (1984), no. 4, 511-537.
DOI
|
| 19 |
B. L. S. Prakasa Rao, Statistical Inference for Diffusion Type Processes, Oxford University Press, New York, 1999.
|
| 20 |
P. E. Protter, Stochastic Integration and Differential Equations, Springer Verlag, Berlin, 2004.
|
| 21 |
L. M. Ricciardi and L. Sacerdote, On the probability densities of an Ornstein-Uhlenbeck process with a reflecting boundary, J. Appl. Probab. 24 (1987), no. 2, 355-369.
DOI
|
| 22 |
A. Ward and P. Glynn, A diffusion approximation for a Markovian queue with reneging, Queueing Syst. 43 (2003), no. 1-2, 103-128.
DOI
|
| 23 |
A. Ward and P. Glynn, Properties of the reflected Ornstein-Uhlenbeck process, Queueing Syst. 44 (2003), no. 2, 109-123.
DOI
|
| 24 |
A. Ward and P. Glynn, A diffusion approximation for a GI/GI/1 queue with balking or reneging, Queueing Syst. 50 (2005), no. 4, 371-400.
DOI
|
| 25 |
Q. Zang and L. Zhang, Parameter estimation for generalized diffusion processes with reflected boundary, Sci. China Math. 59 (2016), no. 6, 1163-1174.
DOI
|
webmaster
