On the time a diffusion process spends along a line

DOI10.1016/0304-4149(93)90016-WzbMath0781.60064MaRDI QIDQ689463

Nils Lid Hjort, Rafail Z. Khasminskii

Publication date: 2 January 1994

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

zbMATH Keywords

Brownian motiondiffusion processmultivariate exponential distributionssecond order asymptotics for estimatorsstatistical estimation theory

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60)

Related Items (2)

Second-order asymptotics for the number of times an estimator is more than \(\varepsilon\) from its target value ⋮ On the errors committed by sequences of estimator functionals

Cites Work

• Sunset over Brownistan
• On the last time and the number of times an estimator is more than \(\epsilon\) from its target value
• Second-order asymptotics for the number of times an estimator is more than \(\varepsilon\) from its target value
• Stability of regime-switching stochastic differential equations
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