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math.ST2025
Parameter Estimation for Weakly Interacting Hypoelliptic Diffusions
Yuga Iguchi, Alexandros Beskos, Grigorios A. Pavliotis
We study parameter estimation for interacting particle systems (IPSs) consisting of weakly interacting multivariate hypoelliptic SDEs. We propose a locally Gaussian approximati…
math.NA2025
A Closed-Form Transition Density Expansion for Elliptic and Hypo-Elliptic SDEs
Yuga Iguchi, Alexandros Beskos
We introduce a closed-form expansion for the transition density of elliptic and hypo-elliptic multivariate Stochastic Differential Equations (SDEs), over a period , in…