Interpolation for partly hidden diffusion processes

DOI10.1016/J.SPA.2004.03.014zbMATH Open1070.60069OpenAlexW2007542802MaRDI QIDQ2485789FDOQ2485789

Authors: Changsun Choi, Dougu Nam 

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2004.03.014

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zbMATH Keywords

ExcursionBackward boundary value problemLast exit decomposition

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Excursions of a Markov process
• Excursions in Brownian motion
• The method of layer potentials for the heat equation in time-varying domains
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• A relation between Brownian bridge and Brownian excursion
• Reverse-time diffusion processes (Corresp.)
• Title not available (Why is that?)
• Estimation of the Gauss-Markov process from observation of its sign
• Constructions of a Brownian path with a given minimum
• Optimal estimation of diffusion processes hidden by general obstacles
• Filterlng of hidden diffusion processes

Cited In (5)

• On the blended solutions of polynomial-like iterative equation with multivalued functions
• Time-symmetric optimal stochastic control problems in space-time domains
• Topological conjugacy for multifunctions with finitely many set-valued points and an application to iterative roots
• Optimal estimation of diffusion processes hidden by general obstacles
• Convex solutions of the multi-valued iterative equation of order \(n\)

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