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stat.ME2026
Choosing optimal Strang splitting estimators of nonlinear stochastic differential equation models
Magnus Frederik Jensen, Johan Ravn Cornelius, Susanne Ditlevsen
The Strang splitting estimator is a powerful estimator for parametric inference in multivariate stochastic differential equation models with nonlinear drift and additive noise. Whi…
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
Robust Parameter Estimation in Dynamical Systems by Stochastic Differential Equations
Qingchuan Sun, Susanne Ditlevsen
Ordinary and stochastic differential equations (ODEs and SDEs) are widely used to model continuous-time processes across various scientific fields. While ODEs offer interpretabilit…