Parameter estimation in reflected Vasicek model: least-squares approach

Abstract

In this paper, we investigate least squares estimation (LSE) for continuou-time reflected Ornstein-Uhlenbeck (ROU) processes with one and two-sided barriers. So, we derive explicit formulas for the estimators, and then we prove their strong consistency and asymptotic normality. We also illustrate the asymptotic properties of the estimators through a simulation study.