An unbiased estimator for the drift of a stopped Wiener process

DOI10.2307/3213723zbMath0509.62070OpenAlexW2324720763MaRDI QIDQ4747419

Brooks Ferebee

Publication date: 1983

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3213723

zbMATH Keywords

moving boundaryfirst-passage timesunbiased estimatordrift of stopped Wiener process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12) Probabilistic methods, stochastic differential equations (65C99)

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