Bayesian inference for non-synchronously observed diffusions

DOI10.1137/25M175319XMaRDI QIDQ7255430zbMATH OpenFDO

Authors Ajay Jasra, Kengo Kamatani

Publication date 29 May 2026

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/25M175319X

zbMATH Keywords

diffusion processeshigh and low frequency observationsnon-synchronous data

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on general state spaces (60J25) Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Stochastic particle methods (65C35)

Cites work

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• Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
• Unbiased inference for discretely observed hidden Markov model diffusions

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