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Bayesian inference for discretely observed diffusion processes, Delft, 2015.
proefschrift ter verkri jging van de graad van doctor aan de technische universiteit delft op gezag van de rector magnif
von Moritz SchauerThe goal of this doctoral project was to develop, justify and implement
Bayesian procedures for discretely observed diffusion processes. In the remainder
of this introduction we will explore the concepts of diffusion processes
and Bayesian inference for discretely observed data a bit more and
then give the reader a taste of some ideas which will be of importance
later on. A thorough treatment of the underlying theory can for example
be found in the monograph on inference for stochastic processes by Liptser
and Shiryaev (2001).
Bayesian procedures for discretely observed diffusion processes. In the remainder
of this introduction we will explore the concepts of diffusion processes
and Bayesian inference for discretely observed data a bit more and
then give the reader a taste of some ideas which will be of importance
later on. A thorough treatment of the underlying theory can for example
be found in the monograph on inference for stochastic processes by Liptser
and Shiryaev (2001).