Nonlinear Least Squares Estimator for Discretely Observed Reflected Stochastic Processes

Abstract: We study the problem of parameter estimation for reflected stochastic processes driven by a standard Brownian motion. The estimator is obtained using nonlinear least squares method based on discretely observed processes. Under some certain conditions, we obtain the consistency and give the asymptotic distribution of the estimator. Moreover, we briefly remark that our method can be extended to the one-sided reflected stochastic processes spontaneously. Numerical studies show that the proposed estimator is adequate for practical use.