Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion
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Publication:3459437
DOI10.1093/biomet/asv051zbMath1419.62049arXiv1307.0238OpenAlexW2228030579MaRDI QIDQ3459437
Alexandros Beskos, J. Dureau, Konstantinos Kalogeropoulos
Publication date: 8 January 2016
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.0238
fractional Brownian motionstochastic differential equationsBayesian inferencehybrid Monte Carlo algorithmDavies and Harte algorithm
Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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