Strang splitting for parametric inference in second-order stochastic differential equations

DOI10.1016/J.SPA.2025.104650MaRDI QIDQ6966287zbMATH OpenFDO

Authors Predrag Pilipovic, Adeline Samson, Susanne Ditlevsen

Publication date 30 June 2025

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2025.104650

zbMATH Keywords

Greenland ice core datahypoellipticityKramers oscillatorpartial observationssecond-order stochastic differential equationsStrang splitting estimator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Non-Markovian processes: estimation (62M09) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(3)

• Network inference via approximate Bayesian computation. Illustration on a stochastic multipopulation neural mass model
• Strang splitting for parametric inference in second-order stochastic differential equations
• A closed-form transition density expansion for elliptic and hypo-elliptic SDEs

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