Nonlinear least squares estimator for generalized diffusion processes with reflecting barriers

In this paper, we investigate the parameter estimation problem for generalized diffusion processes with two-sided reflected barriers. The estimator is obtained using the nonlinear least squares method based on discretely observed processes. Under certain regularity conditions, we obtain consistency and establish the asymptotic normality of the proposed estimator. Our method can be readily applied to the one-sided reflected diffusion processes. Numerical results, including a two-factor financial model, show that the proposed estimator performs well with large sample sizes. The U.S. treasury rate data is used to illustrate the theoretical results.