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Non parametric Bayesian drift estimation for one dimensional diffusion processes

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Figure

Fig 1. Posterior Means for increasing final time T, η =1200Solid Line: True Drift, Dashed Line: Posterior Mean, Grey Line: LocalTime Solution
Fig 2. Posterior means for increasing final timeSolid Line: True Drift, Dashed Line: Posterior Mean, Grey Line: Local T, η =12000Time Solution
Fig 3. Posterior means for increasing final timeSolid Line: True Drift, Dashed Line: Posterior Mean, Grey Line: Local T, η = 12Time Solution
Fig 4. Log-normalization constants and L2-distances vs. hyperparameter η
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