A parameter estimator based on Smoluchowski-Kramers approximation

DOI10.1016/j.aml.2018.10.011zbMath1442.60062arXiv1809.10394OpenAlexW2963300729WikidataQ129037200 ScholiaQ129037200MaRDI QIDQ1726582

Ziying He, Xiujun Cheng, Jin-qiao Duan

Publication date: 20 February 2019

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.10394

zbMATH Keywords

parameter estimationSmoluchowski-Kramers approximationsecond-order stochastic differential equation\(\gamma\)-convergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Methods involving semicontinuity and convergence; relaxation (49J45)

Related Items (3)

The rate of convergence for the Smoluchowski-Kramers approximation for stochastic differential equations with FBM ⋮ A Berry-Esseen bound in the Smoluchowski-Kramers approximation ⋮ Stochastic dynamics and data science

Cites Work

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• An introduction to \(\Gamma\)-convergence
• The Smoluchowski-Kramers limit of stochastic differential equations with arbitrary state-dependent friction
• Filtering for fast mean-reverting processes
• Brownian motion in a field of force and the diffusion model of chemical reactions

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