Estimators for exit distributions of diffusion processes (Q1082023)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimators for exit distributions of diffusion processes |
scientific article |
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Estimators for exit distributions of diffusion processes (English)
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1986
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The concept of unbiased minimum variance estimation of the distribution of the first exit time of a diffusion process from a bounded open set in \(R^ n\) is discussed. Sufficient conditions for the existence of UMV estimators are given.
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unbiased minimum variance estimation
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distribution of the first exit time of a diffusion process
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Sufficient conditions
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existence of UMV estimators
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