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arXiv · 1809.10394

A parameter estimator based on Smoluchowski-Kramers approximation

Ziying He·Jinqiao Duan·Xiujun Cheng
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Abstract

We devise a simplified parameter estimator for a second order stochastic differential equation by a first order system based on the Smoluchowski-Kramers approximation. We establish the consistency of the estimator by using {\Gamma}-convergence theory. We further illus- trate our estimation method by an experimentally studied movement model of a colloidal particle immersed in water under conservative force and constant diffusion.

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Ziying He, Jinqiao Duan, Xiujun Cheng. 2018-09-27. A parameter estimator based on Smoluchowski-Kramers approximation. https://arxiv.org/abs/1809.10394

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