Freidlin, Mark; Pfeiffer, Ruth - In: Statistics & Probability Letters 36 (1998) 4, pp. 337-347
We consider a system with hysteresis: the motion of a particle is governed by one of two stochastic differential equations depending on which of two thresholds 0 and x1,x1 0 was crossed last. Using observations of the process over a fixed time interval we construct the maximum likelihood...