Estimators for exit distributions of diffusion processes

DOI10.1016/0304-4149(86)90005-0zbMath0602.62070OpenAlexW2023082107MaRDI QIDQ1082023

H. U. Hess

Publication date: 1986

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90005-0

zbMATH Keywords

Sufficient conditionsunbiased minimum variance estimationdistribution of the first exit time of a diffusion processexistence of UMV estimators

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Cites Work

• Lectures on potential theory. Notes by K. N. Gowrisankaran and M. K. Venkatesha Murthy
• Recherches axiomatiques sur la théorie des fonctions surharmoniques et du potentiel
• Banach spaces whose duals are \(L_ 1\) spaces and their representing matrices
• Applications of Choquet simplexes to elliptic and parabolic boundary value problems
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