Estimation for stochastic damping Hamiltonian systems under partial observation. I: Invariant density

DOI10.1016/j.spa.2013.10.008zbMath1279.62082OpenAlexW2057969428MaRDI QIDQ2637206

Patrick Cattiaux, José Rafael León, Clémentine Prieur

Publication date: 7 February 2014

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

Full work available at URL: https://doi.org/10.1016/j.spa.2013.10.008

zbMATH Keywords

hypoelliptic diffusionsnonparametric density estimationpartial observations

Mathematics Subject Classification ID

Density estimation (62G07) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (10)

An overlook on statistical inference issues for stochastic damping hamiltonian systems under the fluctuation-dissipation condition ⋮ Invariant density estimation for a reflected diffusion using an Euler scheme ⋮ Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term ⋮ Recursive estimation for stochastic damping hamiltonian systems ⋮ Adaptive estimation for stochastic damping Hamiltonian systems under partial observation ⋮ Exponential ergodicity for damping Hamiltonian dynamics with state-dependent and non-local collisions ⋮ Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data ⋮ Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations ⋮ Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations ⋮ Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations

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