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math.NA2025
Nonparametric estimation of homogenized invariant measures from multiscale data via Hermite expansion
Jaroslav I. Borodavka, Max Hirsch, Sebastian Krumscheid +1
We consider the problem of density estimation in the context of multiscale Langevin diffusion processes, where a single-scale homogenized surrogate model can be derived. In particu…
math.NA2024
Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
Max Hirsch, Andrea Zanoni
We consider the setting of multiscale overdamped Langevin stochastic differential equations, and study the problem of learning the drift function of the homogenized dynamics from c…