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
parameter estimationLangevin equationdiffusion processmolecular dynamicsminimum distance estimatornonparametric estimationmaximum likelihood principlereversible diffusion process
Markov processes: estimation; hidden Markov models (62M05) Numerical solutions to stochastic differential and integral equations (65C30)
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