Estimators for exit distributions of diffusion processes

H. -U. Hess

Stochastic Processes and their Applications, 1986, vol. 22, issue 2, 259-269

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.

Keywords: minimum; variance; estimators; exit; distributions; diffusion; processes (search for similar items in EconPapers)
Date: 1986
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