Remarks on Drift Estimation for Diffusion Processes

DOI10.1137/070694806zbMath1183.62145OpenAlexW2136106655MaRDI QIDQ3549899

Eric Vanden-Eijnden, Yvo Pokern, Andrew M. Stuart

Publication date: 30 March 2010

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://resolver.caltech.edu/CaltechAUTHORS:20160805-152349945

zbMATH Keywords

parameter estimationLangevin equationdiffusion processmolecular dynamicsminimum distance estimatornonparametric estimationmaximum likelihood principlereversible diffusion process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions ⋮ Variational Inference for Stochastic Differential Equations ⋮ Drift estimation of multiscale diffusions based on filtered data ⋮ Reconstructing free energy profiles from nonequilibrium relaxation trajectories ⋮ Stochastic Modeling and Simulation of Ion Transport through Channels

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