Variational estimation of the drift for stochastic differential equations from the empirical density
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Abstract: We present a method for the nonparametric estimation of the drift function of certain types of stochastic differential equations from the empirical density. It is based on a variational formulation of the Fokker-Planck equation. The minimization of an empirical estimate of the variational functional using kernel based regularization can be performed in closed form. We demonstrate the performance of the method on second order, Langevin-type equations and show how the method can be generalized to other noise models.
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Cited in
(20)- A robust nonparametric framework for reconstruction of stochastic differential equation models
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- Variance estimator for fractional diffusions with variance and drift depending on time
- Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance
- Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
- Data-driven method to learn the most probable transition pathway and stochastic differential equation
- Remarks on drift estimation for diffusion processes
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- Discovering transition phenomena from data of stochastic dynamical systems with Lévy noise
- Detecting the maximum likelihood transition path from data of stochastic dynamical systems
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- Detecting stochastic governing laws with observation on stationary distributions
- Approximate Q Learning for Controlled Diffusion Processes and Its Near Optimality
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- Variational inference of the drift function for stochastic differential equations driven by Lévy processes
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