Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations

DOI10.3150/21-BEJ1413WikidataQ115223024 ScholiaQ115223024MaRDI QIDQ2676916

Peter Spreij, Shota Gugushvili, Moritz Schauer, Denis Belomestny

Publication date: 28 September 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.08321

zbMATH Keywords

stochastic differential equationgamma processnonparametric Bayesian estimation

Mathematics Subject Classification ID

Parametric inference (62Fxx) Stochastic processes (60Gxx) Nonparametric inference (62Gxx)

Related Items

Weak solutions to gamma-driven stochastic differential equations

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