Modeling Dynamic Regime Shifts in Diffusion Processes: Approximate Maximum Likelihood Estimation for Two-Threshold Ornstein–Uhlenbeck Models

This study addresses the problem of estimating parameters in a two-threshold Ornstein–Uhlenbeck diffusion process, a model suitable for describing systems that exhibit changes in dynamics when crossing specific boundaries. Such behavior is often observed in real economic and physical processes. The...

Täydet tiedot

Bibliografiset tiedot

Päätekijät:	Svajone Bekesiene, Anatolii Nikitin, Serhii Nechyporuk
Aineistotyyppi:	Artigo
Kieli:	Inglês
Julkaistu:	MDPI AG 2025-10-01
Sarja:	Mathematics
Aiheet:	approximate maximum likelihood method two-threshold diffusion process stochastic differential equation
Linkit:	https://www.mdpi.com/2227-7390/13/21/3450
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