An Iterative Procedure for the Estimation of Drift and Diffusion Coefficients of Langevin Processes

Kleinhans, D.; Friedrich, R.; Nawroth, A.; Peinke, J.

doi:10.1016/j.physleta.2005.07.077

arXiv 2005-02-28 DOI 10.1016/j.physleta.2005.07.077 0 views

An Iterative Procedure for the Estimation of Drift and Diffusion Coefficients of Langevin Processes

Kleinhans, D. · Friedrich, R. · Nawroth, A. · Peinke, J.

Data Analysis, Statistics and Probability

Original · EN

A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217 (2000)], which requires sufficiently high sampling rates. The analysis is based on an iterative procedure minimizing the Kullback-Leibler distance between measured and estimated two time joint probability distributions of the process.

English translation

This paper has no Arabic translation yet. Be the first: it takes a few seconds, and the result is stored for every future reader.

Read on arXiv