Langevin过程漂移系数和扩散系数的迭代估计
An Iterative Procedure for the Estimation of Drift and Diffusion Coefficients of Langevin Processes
摘要：
提出了一种通用的方法，它允许一个估计漂移和扩散系数的随机过程所管辖的朗之万方程。它扩展了以前设计的方法[R。Friedrich等人，Physics Letters A 271，217（2000）]，其需要足够高的采样率。分析是基于一个迭代过程，最小化测量和估计的两个时间联合概率分布的过程之间的Kullback-Leibler距离。
英文摘要：
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., 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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
