57 citations · 223 across the 23 of their papers we have counts for
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math.ST2020★ 3 cited
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
Denis Belomestny, Shota Gugushvili, Moritz Schauer +1
We study a nonparametric Bayesian approach to estimation of the volatility function of a stochastic differential equation driven by a gamma process. The volatility function is mode…
math.ST2020★ 18 cited
A piecewise deterministic Monte Carlo method for diffusion bridges
Joris Bierkens, Sebastiano Grazzi, Frank van der Meulen +1
We introduce the use of the Zig-Zag sampler to the problem of sampling conditional diffusion processes (diffusion bridges). The Zig-Zag sampler is a rejection-free sampling scheme…