Asymptotic expansions of Bayes estimators for small diffusions
Consider diffusion processes defined by stochastic differential equations with small diffusion and an unknown parameter \(\vartheta\) in the drift term. Asymptotic expansions of the bias corrected Bayes estimator of \(\vartheta\) are proved. The efficiency of the Bayes estimator is discussed. The Malliavin calculus is used.
scientific article; zbMATH DE number 569072