An Iterative Procedure for the Estimation of Drift and Diffusion Coefficients of Langevin Processes

Abstract

A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217 (2000)], which requires sufficiently high sampling rates. The analysis is based on an iterative procedure minimizing the Kullback-Leibler distance between measured and estimated two time joint probability distributions of the process.