We consider the problem of Bayesian estimation of static parameters associated to a
partially and discretely observed diffusion process. We assume that the exact transition …

We study parametric inference for ergodic diffusion processes with a degenerate diffusion
matrix. Existing research focuses on a particular class of hypo-elliptic Stochastic Differential …

We address the problem of parameter estimation for degenerate diffusion processes defined
via the solution of Stochastic Differential Equations (SDEs) with diffusion matrix that is not full …

Abstract The stochastic FitzHugh-Nagumo (FHN) model is a two-dimensional nonlinear
stochastic differential equation with additive degenerate noise, whose first component, the …

Parameter estimation in nonlinear multivariate stochastic differential equations based on
splitting schemes Page 1 The Annals of Statistics 2024, Vol. 52, No. 2, 842–867 https://doi.org/10.1214/24-AOS2371 …

We propose a straightforward and effective method for discretizing multi-dimensional
diffusion processes as an extension of Milstein scheme. The new scheme is explicitly given …