An iterative procedure for the estimation of drift and diffusion coefficients of langevin processes
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Publication:1957358
DOI10.1016/j.physleta.2005.07.077zbMath1195.82063arXivphysics/0502152MaRDI QIDQ1957358
A. Nawroth, Joachim Peinke, Rudolf Friedrich, David Kleinhans
Publication date: 27 September 2010
Published in: Physics Letters. A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0502152
62M09: Non-Markovian processes: estimation
82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics
60H05: Stochastic integrals
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