摘要：We are concerned with a parameter estimation for mean-reversion type stochastic differential equations (SDEs) driven by Brownian motion. The equations, involving a small dispersion parameter, are observed at discrete (regularly spaced) time instants. The least square method is utilized to derive an asymptotically consistent estimator. We then discuss the rate of convergence of the least square estimator. The new feature of our study in this paper is that, due to the mean-reversion type drift coefficient in the SDEs, we have to use the Girsanov transformation to simplify the equations, which then gives rise to the corresponding convergence of the least square estimator being with respect to a family of probability measures indexed by the dispersion parameter, while in the literature the existing results have dealt with convergence with respect to a given probability measure.
关键词：mean-reversion type SDEs ; Girsanov transformation ; least square estimator (LSE) ; discrete observation ; consistency of least square estimator ; asymptotic distribution of LSE
