Resumen de Algunas técnicas generales en inferencia bayesiana para procesos de difusión

Mathieu Kessler, Juan Antonio Cano Sánchez

• This paper deals with the problem of Bayesian inference for diffusion processes. The main technical problem in this context is that the transition density is not tractable from a computational point of view. For it, We propose two Euler scheme based approximations to the transition density and study the goodness of the approximated posterior density.