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. © 2005 Elsevier B.V. All rights reserved.
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CITATION STYLE
Kleinhans, D., Friedrich, R., Nawroth, A., & Peinke, J. (2005). An iterative procedure for the estimation of drift and diffusion coefficients of Langevin processes. Physics Letters, Section A: General, Atomic and Solid State Physics, 346(1–3), 42–46. https://doi.org/10.1016/j.physleta.2005.07.077
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