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Estimators for exit distributions of diffusion processes

Author

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  • Hess, H. -U.

Abstract

It is assumed that (Xt)t[greater-or-equal, slanted]0 is a diffusion in n, that are bounded and open, and that the starting point of (Xt)t[greater-or-equal, slanted]0 is unknown, except that it lies in G0. Based on the observation of the passage of a single path through [not partial differential]G0 one is to estimate the exit distribution on [not partial differential]G belonging to the unknown x. It is shown that for this problem an unbiased minimum variance estimator exists.

Suggested Citation

  • Hess, H. -U., 1986. "Estimators for exit distributions of diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 22(2), pages 259-269, July.
    • Handle: RePEc:eee:spapps:v:22:y:1986:i:2:p:259-269
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