Optimal estimation of diffusion processes hidden by general obstacles
Hyung Geun Kim and Dougu Nam
Source: J. Appl. Probab. Volume 38, Number 4
(2001), 1067-1073.
Abstract
Let Xt be an n-dimensional diffusion process and S(t) be a set-valued function. Suppose Xt is invisible when it is hidden by S(t), but we can see the process exactly otherwise. In this paper, we derive the optimal estimator E[f(X1) | Xs1Xs∉S(s), 0 ≤ s ≤ 1] for a bounded Borel function f. We illustrate some computations for Gauss-Markov processes.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1011994193
Digital Object Identifier: doi:10.1239/jap/1011994193
Mathematical Reviews number (MathSciNet): MR1876560
Zentralblatt MATH identifier: 0995.60040
Journal of Applied Probability
