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An Iterative Procedure for the Estimation of Drift and Diffusion Coefficients of Langevin Processes

D. Kleinhans·R. Friedrich·A. Nawroth·J. Peinke
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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., Physics Letters A 271, 217 (2000)], 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.

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D. Kleinhans, R. Friedrich, A. Nawroth, J. Peinke. 2005-08-04. An Iterative Procedure for the Estimation of Drift and Diffusion Coefficients of Langevin Processes. https://doi.org/10.1016/j.physleta.2005.07.077

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