Variational estimation of the drift for stochastic differential equations from the empirical density

DOI10.1088/1742-5468/2016/08/083404zbMath1456.62049arXiv1603.01159OpenAlexW3106244095MaRDI QIDQ3302795

Andreas Ruttor, Philipp Batz, Manfred Opper

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.01159

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Posterior consistency via precision operators for Bayesian nonparametric drift estimation in SDEs
• Simulation and inference for stochastic differential equations. With R examples.
• Nonparametric estimation of diffusions: a differential equations approach
• Stochastic optimal control as non-equilibrium statistical mechanics: calculus of variations over density and current

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