Nonparametric Bayesian posterior contraction rates for discretely observed scalar diffusions

Richard Nickl, Jakob Söhl

We consider nonparametric Bayesian inference in a reflected diffusion model $d{X}_t=b(X_t)dt+\sigma (X_t)d{W}_t,$ with discretely sampled observations $X_0,X_{\Delta },\dots ,X_{n\Delta }$. We ana…