Asymptotic expansions of Bayes estimators for small diffusions (Q1326339): Difference between revisions

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.