A new framework for extracting coarse-grained models from time series with multiscale structure

DOI10.1016/j.jcp.2015.05.002zbMath1352.62136arXiv1409.1787MaRDI QIDQ727752

Serafim Kalliadasis, Grigorios A. Pavliotis, Sebastian Krumscheid

Publication date: 20 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.1787

zbMATH Keywords

chaotic dynamicsstochastic differential equationshomogenizationparametric inferencecoarse-grainingmultiscale diffusion

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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