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Modèles hiérarchiques de Dirichlet à temps continu

Abstract : We consider Dirichlet processes whose parameter is a measure proportional to the distribution of a continuous time process, such as a Brownian motion or a Markov jump process. We use them to propose some Bayesian hierarchical models based on stochastic differential equations in random environment. We propose a method for estimating the parameters of such models and illustrate it on the Black-Scholes equation in random environment.
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Contributor : Hafedh Faires <>
Submitted on : Wednesday, March 24, 2010 - 8:39:57 AM
Last modification on : Thursday, March 5, 2020 - 6:48:59 PM
Document(s) archivé(s) le : Wednesday, November 30, 2016 - 4:20:25 PM


  • HAL Id : tel-00466503, version 1


Hafedh Faires. Modèles hiérarchiques de Dirichlet à temps continu. Mathématiques [math]. Université d'Orléans, 2008. Français. ⟨tel-00466503⟩



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