An iterative procedure for the estimation of drift and diffusion coefficients of Langevin processes

被引：43

作者：

Kleinhans, D ^{[1
]}

Friedrich, R

Nawroth, A

Peinke, J

机构：

[1] Univ Munster, Inst Theoret Phys, D-48149 Munster, Germany

[2] Carl von Ossietzky Univ Oldenburg, Inst Phys, D-26111 Oldenburg, Germany

来源：

PHYSICS LETTERS A | 2005年 / 346卷 / 1-3期

关键词：

D O I：

10.1016/j.physleta.2005.07.077

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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., Phys. Lett. A 271 (2000) 2171, 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. 2005 Elsevier B.V. All rights reserved.

引用

页码：42 / 46

页数：5

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