Drift estimation of multiscale diffusions based on filtered data
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Publication:2684461
DOI10.1007/s10208-021-09541-9MaRDI QIDQ2684461
Assyr Abdulle, Andrew M. Stuart, Grigorios A. Pavliotis, Andrea Zanoni, Giacomo Garegnani
Publication date: 16 February 2023
Published in: Foundations of Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2009.13457
Langevin equation; diffusion process; filtering; Bayesian inference; parameter inference; data-driven homogenization
62F15: Bayesian inference
62M05: Markov processes: estimation; hidden Markov models
65C30: Numerical solutions to stochastic differential and integral equations
74Q10: Homogenization and oscillations in dynamical problems of solid mechanics