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math.NA2025
Affine Invariant Langevin Dynamics for rare-event sampling
Deepyaman Chakraborty, Ruben Harris, Rupert Klein +3
We introduce an affine invariant Langevin dynamics (ALDI) framework for the efficient estimation of rare events in nonlinear dynamical systems. Rare events are formulated as Bayesi…
math.NA2023
Filtered data based estimators for stochastic processes driven by colored noise
Grigorios A. Pavliotis, Sebastian Reich, Andrea Zanoni
We consider the problem of estimating unknown parameters in stochastic differential equations driven by colored noise, which we model as a sequence of Gaussian stationary processes…