Angelika Rohde

The level of self-organized criticality in oscillating Brownian motion: n-consistency and stable Poisson-type convergence of the MLE

For some discretely observed path of oscillating Brownian motion with level of self-organized criticality ρ0, we prove in the infill asymptotics that the MLE is n-consistent, where n denotes the sample size, and derive its limit distribution with respect to stable convergence. As the transition density of this homogene...