Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Parameter estimation in CKLS model by continuous observations   We consider a stochastic differential equation of the form $dr_t = (a - b
r_t) dt + \sigma r_t^\beta dW_t$, where $a$, $b$ and $\sigma$ are positive
constants, $\beta\in(\frac12,1)$. We study the estimation of an unknown drift
parameter $(a,b)$ by continuous observations of a sample path $\{r_t, t \in
[0,T]\}$. We prove the strong consistency and asymptotic normality of the
maximum likelihood estimator. We propose another strongly consistent estimator,
which generalizes an estimator proposed in Dehtiar et al. (2021) for
$\beta=\frac12$. The identification of the diffusion parameters $\sigma$ and
$\beta$ is discussed as well.

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The categories of this paper are: plasm-ph
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The categories of this paper are: econ
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The categories of this paper are: patt-sol
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The categories of this paper are: ao-sci
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The categories of this paper are: cmp-lg
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The categories of this paper are: nucl-th
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The categories of this paper are: q-fin
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The categories of this paper are: chao-dyn
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The categories of this paper are: nucl-ex
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The categories of this paper are: bayes-an
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The categories of this paper are: solv-int
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The categories of this paper are: cond-mat
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The categories of this paper are: acc-phys
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The categories of this paper are: funct-an
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The categories of this paper are: eess
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The categories of this paper are: gr-qc