Reconstruction of diffusion using spectral data from time series
DOI10.4310/CMS.2006.V4.N3.A9zbMATH Open1108.62086MaRDI QIDQ864092FDOQ864092
Authors: Daan Crommelin, Eric Vanden-Eijnden 
Publication date: 12 February 2007
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
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parameter estimationtime seriesstochastic differential equationgeneratorMarkov chainsdiffusion processmodel identificationeigenspectrumreference spectrum
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60) Inference from stochastic processes and spectral analysis (62M15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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- Ruelle-Pollicott resonances of stochastic systems in reduced state space. Part III: Application to the Cane-Zebiak model of the El Niño-southern oscillation
- On the reconstruction of diffusions from first-exit time distributions
- Reconstruction of surface and stochastic dynamics from a planar projection of trajectories
- Nonparametric uncertainty quantification for stochastic gradient flows
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