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Drift estimation for a periodic mean reversion process

Authors:

Herold Dehling Brice Franke Thomas Kott

Institution:

1.Fakult?t für Mathematik,Ruhr-Universit?t Bochum,Bochum,Germany

Abstract:

In this paper we propose a periodic, mean-reverting Ornstein–Uhlenbeck process of the form

dX_t=(L(t)-a X_t) dt + s dB_t, t 3 0, dX_t=(L(t)-\alpha\, X_t)\, dt + \sigma\, dB_t, \quad t\geq 0,

Keywords:
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