Bayesian inference for discretely observed diffusion processes

The goal of this doctoral project was to develop, justify and implement Bayesian procedures for discretely observed diffusion processes. In the remainder of this introduction we will explore the concepts of diffusion processes and Bayesian inference for discretely observed data a bit more and then give the reader a taste of some ideas which will be of importance later on. A thorough treatment of the underlying theory can for example be found in the monograph on inference for stochastic processes by Liptser and Shiryaev (2001).