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 |
-
Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
|
| 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
|
|
Permalink to this page
|
Back
