On the time a diffusion process spends along a line

DOI10.1016/0304-4149(93)90016-WMaRDI QIDQ689463zbMATH OpenFDO

Authors Nils Lid Hjort, R. Z. Khas'minskiĭ

Publication date 2 January 1994

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

zbMATH Keywords

Brownian motiondiffusion processmultivariate exponential distributionssecond order asymptotics for estimatorsstatistical estimation theory

Mathematics Subject Classification ID

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

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• On the distribution of a local time of a homogeneous diffusion process
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Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3246758 (Why is no real title available?)
• On the last time and the number of times an estimator is more than from its target value
• Second-order asymptotics for the number of times an estimator is more than \(\varepsilon\) from its target value
• Stability of regime-switching stochastic differential equations
• Sunset over Brownistan

Cited in

(8)

• On first range times of linear diffusions
• The arctangent law for a certain random time related to one-dimensional 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
• The Wronskian parametrises the class of diffusions with a given distribution at a random time
• 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
• On the distribution of a local time of a homogeneous diffusion process

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