Statistical estimation of the Oscillating Brownian Motion
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DOI: 10.3150/17-bej969
Abstract: We study the asymptotic behavior of estimators of a two-valued, discontinuous diffusion coefficient in a Stochastic Differential Equation, called an Oscillating Brownian Motion. Using the relation of the latter process with the Skew Brownian Motion,… read more here.
Keywords: motion; estimation oscillating; brownian motion; statistical estimation ... See more keywords