Drift estimation of multiscale diffusions based on filtered data
DOI10.1007/s10208-021-09541-9OpenAlexW3206815148MaRDI QIDQ2684461
Giacomo Garegnani, Andrea Zanoni, Assyr Abdulle, Andrew M. Stuart, Grigorios A. Pavliotis
Publication date: 16 February 2023
Published in: Foundations of Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2009.13457
Langevin equationdiffusion processfilteringBayesian inferenceparameter inferencedata-driven homogenization
Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Numerical solutions to stochastic differential and integral equations (65C30) Homogenization and oscillations in dynamical problems of solid mechanics (74Q10)
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