On the time a diffusion process spends along a line
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Publication:689463
DOI10.1016/0304-4149(93)90016-WzbMATH Open0781.60064MaRDI QIDQ689463FDOQ689463
Nils Lid Hjort, R. Z. Khas'minskiĭ
Publication date: 2 January 1994
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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Brownian motiondiffusion processmultivariate exponential distributionssecond order asymptotics for estimatorsstatistical estimation theory
Cites Work
- Title not available (Why is that?)
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- Stability of regime-switching stochastic differential equations
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- Sunset over Brownistan
- On the last time and the number of times an estimator is more than \(\epsilon\) from its target value
- Second-order asymptotics for the number of times an estimator is more than \(\varepsilon\) from its target value
Cited In (5)
- On first range times of linear diffusions
- Joint distribution of two local times for diffusion processes with the application to the construction of various conditioned processes
- Second-order asymptotics for the number of times an estimator is more than \(\varepsilon\) from its target value
- On the errors committed by sequences of estimator functionals
- A density formula for the law of time spent on the positive side of one-dimensional diffusion processes
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