Maximum likelihood drift estimation for multiscale diffusions

@inproceedings{Papavasiliou2009MaximumLD,
  title={Maximum likelihood drift estimation for multiscale diffusions},
  author={Anastasia Papavasiliou and Grigorios A. Pavliotis and Andrew M. Stuart},
  year={2009}
}
We study the problem of parameter estimation using maximum likelihood for fast/slow systems of stochastic differential equations. Our aim is to shed light on the problem of model/data mismatch at small scales. We consider two classes of fast/slow problems for which a closed coarse-grained equation for the slow variables can be rigorously derived, which we refer to as averaging and homogenization problems. We ask whether, given data from the slow variable in the fast/slow system, we can… CONTINUE READING

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