Some parameter estimation problems for hypoelliptic homogeneous Gaussian diffusions

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Periodic Homogenization for Hypoelliptic Diffusions

Abstract We study the long time behavior of an Ornstein–Uhlenbeck process under the influence of a periodic drift. We prove that, under the standard diffusive rescaling, the law of the particle position converges weakly to the law of a Brownian motion whose covariance can be expressed in terms of the solution of a Poisson equation. We also derive upper bounds on the convergence rate in several ...

متن کامل

Parameter Estimation for Multiscale Diffusions

We study the problem of parameter estimation for time-series possessing two, widely separated, characteristic time scales. The aim is to understand situations where it is desirable to fit a homogenized singlescale model to such multiscale data. We demonstrate, numerically and analytically, that if the data is sampled too finely then the parameter fit will fail, in that the correct parameters in...

متن کامل

Sampling Conditioned Hypoelliptic Diffusions

A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of elliptic diffusions where the drift has a gradient structure and the resulting SPDE is of second-order parabolic type. The present article extends this metho...

متن کامل

Smoothness of Harmonic Maps for Hypoelliptic Diffusions

Harmonic maps are viewed as maps sending a xed diiusion to manifold-valued martingales. Under a convexity condition, we prove that the continuity of real-valued harmonic functions implies the continuity of harmonic maps. Then we prove with a probabilistic method that continuous harmonic maps are smooth under HH ormander's condition; the proof relies on the study of martingales with values in th...

متن کامل

Parameter Estimation for Multiscale Diffusions: An Overview

There are many applications where it is desirable to fit reduced stochastic descriptions (eg SDEs) to data. These include molecular dynamics [28], [6], atmosphere/ocean science [13], cellular biology [2] and econometrics [4]. The data arising in these problems often has a multiscale character and may not be compatible with the desired diffusion at small scales (see [8], [14], [11], [1] and [20]...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Banach Center Publications

سال: 1985

ISSN: 0137-6934,1730-6299

DOI: 10.4064/-16-1-337-356