Bayesian estimation of a class of second-order stochastic differential equations

DOI10.13764/J.CNKI.NCDL.2018.04.002MaRDI QIDQ5194478zbMATH OpenFDO

Authors Xin Tan, Yan Lv

Publication date 20 September 2019

Full work available at URL https://doi.org/10.13764/J.CNKI.NCDL.2018.04.002

zbMATH Keywords

asymptotic consistencyasymptotic normalityBayes estimationparameter estimationstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Bayesian inference (62F15)

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(5)

• A parameter estimator based on Smoluchowski-Kramers approximation
• Asymptotic properties of Bayes estimators for Gaussian Itô\,-\,processes with noisy observations
• Bayesian estimate and asymptotic property of stochastic differential equations with perturbation
• Asymptotic Bayesian estimation of a first order equation with small diffusion
• On Bayesian asymptotics in stochastic differential equations with random effects

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