Efficient maximum likelihood estimation for L\'{e}vy-driven   Ornstein-Uhlenbeck processes
  We consider the problem of efficient estimation of the drift parameter of an Ornstein-Uhlenbeck type process driven by a L\'{e}vy process when high-frequency observations are given. The estimator is constructed from the time-continuous likelihood function that leads to an explicit maximum likelihood estimator and requires knowledge of the continuous martingale part. We use a thresholding technique to approximate the continuous part of the process. Under suitable conditions, we prove asymptotic normality and efficiency in the H\'{a}jek-Le Cam sense for the resulting drift estimator. Finally, we investigate the finite sample behavior of the method and compare our approach to least squares estimation. 
Hilmar Mai
math.ST stat.TH