Parameter Estimation from Occupation Times
  We derive an equation to compute directly the expected occupation time of the centered Ornstein-Uhlenbeck process. This allows us to identify the parameters of the Ornstein-Uhlenbeck process for available occupation times via a standard least squares minimization. To test the method, we generate occupation times via Monte-Carlo simulations and recover the parameters with the above mentioned procedure. 
Wolfgang Bock, Thomas G\"otz, Martin Grothaus, Uditha Prabhath   Liyanage
math.NA math.PR