Abstract:

Reflected Ornstein-Uhlenbeck process is a process that returns immediately to the interior of the state space when it attains a certain boundary. In this paper, we investigate the maximum likelihood estimation for the reflected Ornstein-Uhlenbeck process with jumps based on continuous observations. We derive the likelihood functions by using semimartingale theory and then get explicit formulas for the estimators. Their strong consistence and asymptotic normality are proved by using the method of stochastic integration.