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stat.ME2026
Strang splitting estimator for nonlinear multivariate stochastic differential equations with Pearson-type multiplicative noise
Predrag PilipoviÄ, Adeline Samson, Susanne Ditlevsen
Multivariate Pearson diffusions are characterized by a linear drift and a diffusion matrix that is quadratic in the state variables. We derive closed-form expressions for the mean…
stat.ME2025
Strang Splitting for Parametric Inference in Second-order Stochastic Differential Equations
Predrag Pilipovic, Adeline Samson, Susanne Ditlevsen
We address parameter estimation in second-order stochastic differential equations (SDEs), which are prevalent in physics, biology, and ecology. The second-order SDE is converted to…