Nonparametric inference of stochastic differential equations based on the relative entropy rate
DOI10.1002/mma.8685arXiv2112.04692OpenAlexW4295993414MaRDI QIDQ6182259
Jin-qiao Duan, Jianyu Hu, Xiang Jun Wang, Min Dai
Publication date: 21 December 2023
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2112.04692
stochastic differential equationsnonparametric approachrelative entropy rateGaussian process kernel theory
Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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