2 papers
math.PR2026
On the time a diffusion process spends along a line
Nils Lid Hjort, Rafail Zalmonovich Khasminskii
For an arbitrary diffusion process with time-homogeneous drift and variance parameters and , let be times the total time s…
math.ST2015
On Parameter Estimation of Hidden Telegraph Process
Rafail Khasminskii, Yury Kutoyants
The problem of parameter estimation by the observations of the two-state telegraph process in the presence of white Gaussian noise is considered. The properties of estimator of the…