Abstract
In this paper, we study the asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift [Formula: see text], [Formula: see text], where [Formula: see text], and [Formula: see text] is a given standard Brownian motion. The law of iterated logarithm, consistency and asymptotic distributions of the estimators are discussed based on the continuous observation [Formula: see text] as [Formula: see text].
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