An iterative procedure for the estimation of drift and diffusion coefficients of Langevin processes

Physics Letters, Section A: General, Atomic and Solid State Physics

Volumn 346, Issue 1-3, 2005, Pages 42-46

  Kleinhans, D ^a   Friedrich, R ^a   Nawroth, A ^b   Peinke, J ^b  

^a UNIVERSITY OF MÜNSTER   (Germany)

^b UNIVERSITY OF OLDENBURG   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

DIFFERENTIAL EQUATIONS; DIFFUSION; ITERATIVE METHODS; RANDOM PROCESSES; STOCHASTIC SYSTEMS;

GENERAL METHOD; HIGH SAMPLING RATES; JOINT PROBABILITY DISTRIBUTIONS; KULLBACK-LEIBLER DISTANCE; LANGEVIN EQUATION; LANGEVIN PROCESS;

PROBABILITY DISTRIBUTIONS;

EID: 24944469582     PISSN: 03759601     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physleta.2005.07.077     Document Type: Article

References (23)

1. H. Haken Synergetics: Introduction and Advanced Topics 2004 Springer-Verlag New York
2. H. Risken The Fokker-Planck Equation 1983 Springer-Verlag New York
3. C.W. Gardiner Handbook of Stochastic Methods 1983 Springer-Verlag Berlin
4. H. Haken Information and Self-Organization: A Macroscopic Approach to Complex Systems 2004 Springer-Verlag Berlin
5. S. Siegert, R. Friedrich, and J. Peinke Phys. Lett. A 234 1998 275
6. R. Friedrich, S. Siegert, J. Peinke, St. Lück, M. Siefert, M. Lindemann, J. Raethjen, G. Deuschl, and G. Pfister Phys. Lett. A 271 2000 217
7. J. Gradisek, I. Grabec, S. Siegert, and R. Friedrich Mech. Syst. Signal Process. 16 5 2002 831
8. T.D. Frank, P.J. Beek, and R. Friedrich Phys. Lett. A 328 2004 219
9. T.D. Frank, R. Friedrich, and P.J. Beek Stoch. Dyn. 9 2004 44
10. P. Sura, and S.T. Gille J. Mar. Res. 61 2003 313
11. S. Kriso, R. Friedrich, J. Peinke, and P. Wagner Phys. Lett. A 299 2002 287
12. T. Kuusela Phys. Rev. E 69 2004 031916
13. R. Friedrich, and J. Peinke Phys. Rev. Lett. 78 1997 863
14. Ch. Renner, J. Peinke, and R. Friedrich J. Fluid Mech. 433 2001 383
15. M. Tutkun, and L. Mydlarski New J. Phys. 6 2004 49
16. R. Friedrich, J. Peinke, and Ch. Renner Phys. Rev. Lett. 84 2000 5224
17. G.R. Jafari, S.M. Fazeli, F. Ghasemi, S.M.V. Allaei, M.R.R. Tabar, A.I. Zad, and G. Kavei Phys. Rev. Lett. 91 2003 226101
18. M. Wächter, F. Riess, H. Kantz, and J. Peinke Europhys. Lett. 64 2003 579
19. P. Sura, and J. Barsugli Phys. Lett. A 305 2002 304
20. M. Ragwitz, and H. Kantz Phys. Rev. Lett. 87 2001 254501
21. R. Friedrich, Ch. Renner, M. Siefert, and J. Peinke Phys. Rev. Lett. 89 2002 149401
22. M. Ragwitz, and H. Kantz Phys. Rev. Lett. 89 2002 149402
23. E. Weinstein, M. Feder, and A.V. Oppenheim IEEE Trans. Acoustics Speech Signal Process. 38 1990 1652