An iterative procedure for the estimation of drift and diffusion coefficients of langevin processes

DOI10.1016/j.physleta.2005.07.077zbMath1195.82063arXivphysics/0502152OpenAlexW2150739273MaRDI 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

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic integrals (60H05)

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Cites Work

• Reconstruction of dynamical equations for traffic flow
• A note on estimating drift and diffusion parameters from time series
• Experimental indications for Markov properties of small-scale turbulence
• Sequential algorithms for parameter estimation based on the Kullback-Leibler information measure
• Handbook of stochastic methods for physics, chemistry and natural sciences.

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