Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
| Authors | |
|---|---|
| Publication date | 2014 |
| Journal | Lithuanian Mathematical Journal |
| Volume | Issue number | 54 | 2 |
| Pages (from-to) | 127-141 |
| Organisations |
|
| Abstract |
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. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1007/s10986-014-9232-1
(Final published version)
|
| Permalink to this page | |
