Adjoint-based calibration of nonlinear stochastic differential equations

DOI10.1007/s00245-024-10181-yMaRDI QIDQ6642493

Stefan Volkwein, Robert Denk, Jan Bartsch

Publication date: 24 November 2024

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodsfirst-order optimality conditionsstochastic gradient methodsOrnstein-Uhlenbeck modeloptimization of SDEsstochastic Prandtl-Tomlinson equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Optimal stochastic control (93E20) Methods of reduced gradient type (90C52)

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