Aarhus Universitets segl

Likelihood methods for low-frequency diffusion data

Matteo Giordano (University of Turin)
Torsdag 2. november 2023 13:10–14:00 Koll. D (1531-211)
Stochastics seminar

The talk will consider the problem of nonparametric inference in multi-dimensional diffusion models from low-frequency data. Implementation of likelihood-based procedures in such settings is a notoriously delicate task, due to the computational intractability of the likelihood. For the nonlinear inverse problem of inferring the diffusivity in a stochastic differential equation, we propose to exploit the underlying PDE characterisation of the transition densities, which allows the numerical evaluation of the likelihood via standard numerical methods for elliptic eigenvalue problems. A simple Metropolis–Hastings-type MCMC algorithm for Bayesian inference on the diffusivity is then constructed, based on Gaussian process priors. Furthermore, the PDE approach also yields a convenient characterisation of the gradient of the likelihood via perturbation techniques for parabolic PDEs, allowing the construction of gradient-based inference methods including MLE and Langevin-type MCMC. The performance of the algorithms is illustrated via the results of numerical experiments.

Organiseret af: Stochastics Group
Kontakt: Claudia Strauch Revideret: 27.10.2023