Nonparametric Bayesian estimation in a multidimensional diffusion model with high frequency data

Abstract We consider nonparametric Bayesian inference in a multidimensional diffusion model with reflecting boundary conditions based on discrete high-frequency observations. We prove a general posterior contraction rate theorem in $$L^2$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:msup> <mml:mi>L</mml:mi> <mml:mn>2</mml:mn> </mml:msup> </mml:math> -loss, which is applied to Gaussian priors. The resulting posteriors, as well as their posterior means, are shown to converge to the ground truth at the minimax optimal rate over Hölder smoothness classes in any dimension. Of independent interest and as part of our proofs, we show that certain frequentist penalized least squares estimators are also minimax optimal.