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

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