Abstract

© 2021, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.This paper deals with the problem of parameter estimation in a class of stochastic differential equations driven by a fractional Brownian motion with H≥ 1 / 2 and a discontinuous coefficient in the diffusion. Two Bayesian type estimators are proposed for the diffusion parameters based on Markov Chain Monte Carlo and Approximate Bayesian Computation methods.