Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9867828 | Physics Letters A | 2005 | 5 Pages |
Abstract
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) 217], 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.
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Physics and Astronomy (General)
Authors
D. Kleinhans, R. Friedrich, A. Nawroth, J. Peinke,