Optimal estimation of diffusion processes hidden by general obstacles

DOI10.1239/JAP/1011994193MaRDI QIDQ4537311zbMATH OpenOpenAlexFDO

Authors Hyung Geun Kim, Dougu Nam

Publication date 26 June 2002

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

Full work available at URL https://doi.org/10.1239/jap/1011994193

zbMATH Keywords

last-exit timeoptimal estimationreverse-time processset-valued function

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Brownian motion (60J65)

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Cited in

(3)

• Some boundary-crossing results for linear diffusion processes.
• Interpolation for partly hidden diffusion processes
• Time-symmetric optimal stochastic control problems in space-time domains

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