Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion

DOI10.1007/s11222-022-10193-0zbMath1502.62021arXiv2211.00296OpenAlexW4313403754MaRDI QIDQ2110194

Hernando Ombao, Ajay Jasra, Mohamed Maama

Publication date: 21 December 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2211.00296

zbMATH Keywords

fractional Brownian motionMarkov chain Monte Carlotime discretizationmultilevel Monte Carlo

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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