Bayesian Parameter Inference for Partially Observed Stochastic Volterra Equations
部分观测随机 Volterra 方程的贝叶斯参数推断
In this article we consider Bayesian parameter inference for a type of partially observed stochastic Volterra equation (SVE). SVEs are found in many areas such as physics and mathematical finance. In the latter field they can be used to represent long memory in unobserved volatility processes. In many cases of practical interest, SVEs must be time-discretized and then parameter inference is based upon the posterior associated to this time-discretized process. Based upon…