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An unbiased estimator for the drift of a stopped Wiener process

Published online by Cambridge University Press:  14 July 2016

Brooks Ferebee
Brooks Ferebee*
Affiliation:
Johann Wolfgang Goethe-Universität, Frankfurt am Main
*
∗ Postal address: Johann Wolfgang Goethe-Universität, Fachbereich Mathematik, Robert-Mayer-Strasse 6–10, D-6000 Frankfurt am Main, W. Germany.
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Abstract

An unbiased estimator is given for the drift of a Wiener process which is observed up to a stopping time. For first-passage times across a moving boundary the estimator can be calculated by a simple modification of standard computer programs for computing the first-passage density. Examples and interpretations of the estimator are given.

Keywords

SEQUENTIAL ANALYSISWIENER PROCESS WITH DRIFTUNBIASED ESTIMATOR
Type
Research Papers
Information
Journal of Applied Probability , Volume 20 , Issue 1 , March 1983 , pp. 94 - 102
Copyright
Copyright © Applied Probability Trust 1983 

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Footnotes

Work supported by the Deutsche Forschungsgemeinschaft at the Sonderforschungsbereich 123, Universität Heidelberg.

References

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