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- W4252376492 abstract "Let X t be an n -dimensional diffusion process and S ( t ) be a set-valued function. Suppose X t 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 ( X 1 ) | X s 1 X s ∉ S ( s ) , 0 ≤ s ≤ 1] for a bounded Borel function f . We illustrate some computations for Gauss-Markov processes." @default.
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- W4252376492 date "2001-12-01" @default.
- W4252376492 modified "2023-09-25" @default.
- W4252376492 title "Optimal estimation of diffusion processes hidden by general obstacles" @default.
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- W4252376492 doi "https://doi.org/10.1017/s0021900200019240" @default.
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