- Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
- Lithuanian Mathematical Journal
- Volume | Issue number
- 54 | 2
- Pages (from-to)
- Document type
- Faculty of Science (FNWI)
- Korteweg-de Vries Institute for Mathematics (KdVI)
- We consider nonparametric Bayesian estimation of the drift coefficient of a multidimensional stochastic differential equation
from discrete-time observations on the solution of this equation. Under suitable regularity conditions, we establish posterior
consistency in this context.
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