Semiparametric Drift and Diffusion Estimation for Multiscale Diffusions

DOI10.1137/110854485zbMath1411.60085arXiv1111.1916OpenAlexW2026677648MaRDI QIDQ5417551

Serafim Kalliadasis, Sebastian Krumscheid, Grigorios A. Pavliotis

Publication date: 21 May 2014

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

Full work available at URL: https://arxiv.org/abs/1111.1916

zbMATH Keywords

parameter estimationstochastic differential equationshomogenizationcoarse-grainingeffective dynamicsmultiscale diffusions

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Multiple scale methods for ordinary differential equations (34E13)

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Statistical Learning of Nonlinear Stochastic Differential Equations from Nonstationary Time Series using Variational Clustering ⋮ Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions ⋮ Maximum likelihood estimation for small noise multiscale diffusions ⋮ Manifold learning for accelerating coarse-grained optimization ⋮ Drift estimation of multiscale diffusions based on filtered data ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Discrete-Time Statistical Inference for Multiscale Diffusions ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ A new framework for extracting coarse-grained models from time series with multiscale structure ⋮ Statistical inference for perturbed multiscale dynamical systems ⋮ Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data ⋮ Ensemble Kalman inversion for sparse learning of dynamical systems from time-averaged data ⋮ Nonlinear Forecasting of the Generalized Kuramoto–Sivashinsky Equation

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