27 citations · 81 across the 21 of their papers we have counts for
4 papers · 1 filter
On One-Dimensional Riccati Diffusions
Adrian N. Bishop, Pierre Del Moral, Kengo Kamatani +1
This article is concerned with the fluctuation analysis and the stability properties of a class of one-dimensional Riccati diffusions. These one-dimensional stochastic differential…
Bayesian inference for Stable Levy driven Stochastic Differential Equations with high-frequency data
Ajay Jasra, Kengo Kamatani, Hiroki Masuda
In this article we consider parametric Bayesian inference for stochastic differential equations (SDE) driven by a pure-jump stable Levy process, which is observed at high frequency…
A Multi-Index Markov Chain Monte Carlo Method
Ajay Jasra, Kengo Kamatani, Kody Law +1
In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only r…
Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo
Ajay Jasra, Kengo Kamatani, Kody J. H. Law +1
In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort t…