A new framework for extracting coarse-grained models from time series with multiscale structure

DOI10.1016/j.jcp.2015.05.002zbMath1352.62136arXiv1409.1787OpenAlexW820024641MaRDI QIDQ727752

Serafim Kalliadasis, Grigorios A. Pavliotis, Sebastian Krumscheid

Publication date: 20 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.1787

zbMATH Keywords

chaotic dynamicsstochastic differential equationshomogenizationparametric inferencecoarse-grainingmultiscale diffusion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Statistical Learning of Nonlinear Stochastic Differential Equations from Nonstationary Time Series using Variational Clustering ⋮ Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions ⋮ Path-space variational inference for non-equilibrium coarse-grained systems ⋮ Manifold learning for accelerating coarse-grained optimization ⋮ Drift estimation of multiscale diffusions based on filtered data ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data ⋮ Ensemble Kalman inversion for sparse learning of dynamical systems from time-averaged data

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