Drift reconstruction from first passage time data using the Levenberg–Marquardt method

DOI10.1080/17415977.2012.757313zbMath1300.35146OpenAlexW1977818092MaRDI QIDQ2929921

Pak-Wing Fok

Publication date: 17 November 2014

Published in: Inverse Problems in Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17415977.2012.757313

zbMATH Keywords

Green's functionfirst passage timesTikhonov regularizationrandom walkLevenberg-Marquardt methoddrift reconstruction

Mathematics Subject Classification ID

Brownian motion (60J65) Inverse problems for PDEs (35R30) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• An improved technique for the simulation of first passage times for diffusion processes
• Spectral Methods in MATLAB
• Inverse spectral problem for the Sturm Liouville equation
• On the reconstruction of diffusions from first-exit time distributions
• Elliptic Equations: An Introductory Course

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