Robust estimation of effective diffusions from multiscale data

DOI10.4310/CMS.2023.V21.N2.A5MaRDI QIDQ6171050zbMATH OpenFDO

Authors Giacomo Garegnani, Andrea Zanoni

Publication date 17 July 2023

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.03132

zbMATH Keywords

data-driven homogenizationdiffusion processesfilteringLangevin equationparameter inference

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We present a novel methodology based on filtered data and moving averages for estimating effective dynamics from observations of multiscale systems. We show in a semi-parametric framework of the Langevin type that our approach is asymptotically unbiased with respect to the theory of homogenization. Moreover, we demonstrate on a range of challenging numerical experiments that our method is accurate in extracting coarse-grained dynamics from multiscale data. In particular, the estimators we propose are more robust and require less knowledge of the full model than the standard technique of subsampling, which is widely employed in practice in this setting.

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(9)

• Robust M-estimators in diffusion processes
• Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
• Drift estimation of multiscale diffusions based on filtered data
• Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
• Diffusion parameter estimation for the homogenized equation
• Semiparametric drift and diffusion estimation for multiscale diffusions
• Computationally efficient steady-state multiscale estimation for 1-D diffusion processes
• Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
• Filtered data based estimators for stochastic processes driven by colored noise

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