Semiparametric maximum likelihood reconstruction of stochastic differential equations driven by white and correlated noise

DOI10.1063/5.0170130MaRDI QIDQ6663723

Frank Kwasniok

Publication date: 14 January 2025

Published in: Chaos (Search for Journal in Brave)

Mathematics Subject Classification ID

Dynamical systems and ergodic theory (37-XX) Ordinary differential equations (34-XX)

Cites Work

• Maximum likelihood estimation of drift and diffusion functions
• The Markov-Einstein coherence length -- a new meaning for the Taylor length in turbulence
• Estimating the dimension of a model
• Analysis of data sets of stochastic systems
• Analysis and modelling of glacial climate transitions using simple dynamical systems
• Handbook of Markov Chain Monte Carlo
• A new method for the nonlinear transformation of means and covariances in filters and estimators
• Stochastic Processes and Applications
• On the Convergence of Ordinary Integrals to Stochastic Integrals

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