Drift estimation from a simple field theory

Journal Article · Thu Nov 06 00:00:00 EST 2008 · AIP Conference Proceedings

DOI:https://doi.org/10.1063/1.3039001· OSTI ID:21254846

Mendes, F M; Figueiredo, A ^[1]

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1. Instituto de Fisica, Universidade de Brasilia, CP: 04455, 70919-970-Brasilia (Brazil)

Given the outcome of a Wiener process, what can be said about the drift and diffusion coefficients? If the process is stationary, these coefficients are related to the mean and variance of the position displacements distribution. However, if either drift or diffusion are time-dependent, very little can be said unless some assumption about that dependency is made. In Bayesian statistics, this should be translated into some specific prior probability. We use Bayes rule to estimate these coefficients from a single trajectory. This defines a simple, and analytically tractable, field theory.

• OSTI ID: 21254846
• Journal Information: AIP Conference Proceedings, Vol. 1073, Issue 1; Conference: 28. international workshop on Bayesian inference and maximum entropy methods in science and engineering, Boraceia, Sao Paulo (Brazil), 6-11 Jul 2008; Other Information: DOI: 10.1063/1.3039001; (c) 2008 American Institute of Physics; Country of input: International Atomic Energy Agency (IAEA); ISSN 0094-243X
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
DIFFUSION
ENTROPY
FIELD THEORIES
PLASMA INSTABILITY
PROBABILITY
STOCHASTIC PROCESSES
TIME DEPENDENCE