Level sets and drift estimation for reflected Brownian motion with drift
نویسندگان
چکیده
منابع مشابه
Maximal Inequalities for Reflected Brownian Motion with Drift
Let = (t) t0 denote the unique strong solution of the equation d t = 0 sign(t) dt + dB t satisfying 0 = 0 , where > 0 and B = (B t) t0 is a standard Brownian motion. Then jj = (j t j) t0 is known to be a realisation of the reflected Brownian motion with drift 0. Using this representation we show that there exist universal constants c 1 > 0 and c 2 > 0 such that c 1 E H () E max 0t j t j c 2 E H...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2020
ISSN: 1017-0405
DOI: 10.5705/ss.202018.0211