Non-Markovian Optimal Prediction

DOI10.1515/mcma.2001.7.1-2.99zbMath0982.65011arXivmath/0101022OpenAlexW1517611564MaRDI QIDQ2724984

Raz Kupferman, Alexandre Joel Chorin, Ole Hansen Hald

Publication date: 12 July 2001

Published in: mcma (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0101022

zbMATH Keywords

Monte Carlo methodsstatistical physicsautocorrelationsfluctuation-dissipation formulasoptimal prediction methodsorthogonal dynamics

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (4)

Comparison of systems with complex behavior ⋮ Optimal prediction for moment models: crescendo diffusion and reordered equations ⋮ Second-order asymptotic expansion and thermodynamic interpretation of a fast-slow Hamiltonian system ⋮ Optimal prediction with memory

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