Diffusion Estimation from Multiscale Data by Operator Eigenpairs

DOI10.1137/100795917zbMath1244.60055OpenAlexW2107056658MaRDI 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

zbMATH Keywords

stochastic differential equationparameter estimationhomogenizationmultiscale analysisoperator eigenpairs

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Transition functions, generators and resolvents (60J35)

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Uses Software

• PLCP

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