Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
DOI10.1051/m2an/2024079MaRDI QIDQ6667317
Publication date: 20 January 2025
Published in: European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
parameter estimationhomogenizationstochastic gradient descentmultiscale diffusionsfiltered dataLangevin stochastic differential equations
Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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