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I quote a paper from Delbaen and Shirakawa (2002). I will write in italics my observations/questions. Starting from a stochastic differential equation of the form: $$dr_t=\alpha\left(r_{\mu}-r_t\...

I am wondering about the existence and uniqueness of a posterior distribution. While Bayes' theorem gives the form of the posterior, perhaps there are pathological cases (over some weird probability ...