Diffusion Estimation from Multiscale Data by Operator Eigenpairs
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Publication:2903612
DOI10.1137/100795917zbMath1244.60055MaRDI QIDQ2903612
Eric Vanden-Eijnden, Daan Crommelin
Publication date: 11 August 2012
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://ir.cwi.nl/pub/18934
stochastic differential equation; parameter estimation; homogenization; multiscale analysis; operator eigenpairs
62F15: Bayesian inference
62M05: Markov processes: estimation; hidden Markov models
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60: Diffusion processes
65C30: Numerical solutions to stochastic differential and integral equations
60J35: Transition functions, generators and resolvents
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