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Variational estimation of the drift for stochastic differential equations from the empirical density
Zitatschlüssel BaRuOp16
Autor Philipp Batz and Andreas Ruttor and Manfred Opper
Seiten 083404
Jahr 2016
Journal Journal of Statistical Mechanics: Theory and Experiment
Jahrgang 2016
Nummer 8
Zusammenfassung We present a method for the nonparametric estimation of the drift function of certain types of stochastic differential equations from the empirical density. It is based on a variational formulation of the Fokker–Planck equation. The minimization of an empirical estimate of the variational functional using kernel based regularization can be performed in closed form. We demonstrate the performance of the method on second order, Langevin-type equations and show how the method can be generalized to other noise models.
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