Drift estimation of multiscale diffusions based on filtered data

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

zbMATH Keywords

Langevin equation; diffusion process; filtering; Bayesian inference; parameter inference; data-driven homogenization

Mathematics Subject Classification ID

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