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

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

2005-02-28

arxiv.org/abs/physics/0502152v2

Physics

Data Analysis, Statistics and Probability

4 pages, 5 figures

Scientific paper

10.1016/j.physleta.2005.07.077

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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