An estimator for the relative entropy rate of path measures for stochastic differential equations

DOI10.1016/j.jcp.2016.11.021zbMath1378.60087OpenAlexW2554623735MaRDI QIDQ1691735

Manfred Opper

Publication date: 25 January 2018

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2016.11.021

zbMATH Keywords

relative entropystochastic differential equationsdrift estimationvariational bound

Mathematics Subject Classification ID

Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Detecting stochastic governing laws with observation on stationary distributions ⋮ Special issue: Predictive multiscale materials modeling ⋮ Nonparametric inference of stochastic differential equations based on the relative entropy rate ⋮ Space and spectral domain relative entropy for homogeneous random fields

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