Non-parametric estimation of stochastic differential equations from stationary time-series

DOI10.1007/s10955-021-02847-6zbMath1490.60148arXiv2007.08054OpenAlexW3042253907WikidataQ115382593 ScholiaQ115382593MaRDI QIDQ824289

Xi Chen, Ilya Timofeyev

Publication date: 15 December 2021

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.08054

zbMATH Keywords

stochastic differential equationsconditional expectationnon-parametric estimation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• Markov Chain Stochastic Parametrizations of Essential Variables
• A mathematical framework for stochastic climate models
• Effective dynamics using conditional expectations
• Stochastic models for selected slow variables in large deterministic systems
• Stochastic differential equations. An introduction with applications.

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