  We study the Nadaraya-Watson (N-W) estimator for the drift function of
two-sided reflected stochastic processes. We propose a discrete-type N-W
estimator and a continuous-type N-W estimator based on the discretely observed
processes and continuously observed processes respectively. Under some regular
conditions, we obtain the consistency and give the asymptotic distributions for
the two estimators. Furthermore, we briefly remark that our method can be
applied to the one-sided reflected stochastic processes spontaneously.
Numerical studies show that the proposed estimators is adequate for practical
use.
