Parameter estimation with increased precision for elliptic and hypo-elliptic diffusions

DOI10.3150/24-bej1730MaRDI QIDQ6632608

Matthew M. Graham, Yuga Iguchi, Alexandros Beskos

Publication date: 5 November 2024

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

parameter estimationstochastic differential equationssampling schemeshypo-elliptic diffusion

Mathematics Subject Classification ID

Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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