161 citations · 2k across the 112 of their papers we have counts for
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Calculating Effective Diffusivities in the Limit of Vanishing Molecular Diffusion
G. A. Pavliotis, A. M. Stuart, K. C. Zygalakis
In this paper we study the problem of the numerical calculation (by Monte Carlo Methods) of the effective diffusivity for a particle moving in a periodic divergent-free velocity fi…
Maximum Likelihood Drift Estimation for Multiscale Diffusions
A. Papavasiliou, G. A. Pavliotis, A. M. Stuart
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/d…
Diffusive Transport in Periodic Potentials: Underdamped Dynamics
G. A. Pavliotis, A. Vogiannou
In this paper we present a systematic and rigorous method for calculating the diffusion tensor for a Brownian particle moving in a periodic potential which is valid in arbitrary di…
Multiscale Inference for High-Frequency Data
Sofia Olhede, Adam Sykulski, Grigorios Pavliotis
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process, in the presence of market microstructure noise (observation error). The multiscale…