Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
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Cited in
(7)- Generative ensemble regression: Learning particle dynamics from observations of ensembles with physics-informed deep generative models
- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
- Estimation of parameters in mean-reverting stochastic systems
- A variational approach to path estimation and parameter inference of hidden diffusion processes
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- Expected a posteriori estimation in finance
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