Homogenization results for the generator of multiscale Langevin dynamics in weighted Sobolev spaces
Author:
Affiliation:
1. Institute of Mathematics, EPFL , Route Cantonale, 1015 Lausanne , Switzerland
Abstract
Funder
Swiss National Science Foundation
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics
Link
https://academic.oup.com/imamat/advance-article-pdf/doi/10.1093/imamat/hxad003/49032192/hxad003.pdf
Reference41 articles.
1. Spectral methods for multiscale stochastic differential equations;Abdulle;SIAM/ASA J. Uncertain. Quantif.,2017
2. Drift estimation of multiscale diffusions based on filtered data;Abdulle;Found. Comput. Math.,2021
3. Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions;Abdulle;Statist. Comput.,2022
4. How often to sample a continuous-time process in the presence of market microstructure noise;Aït-Sahalia,2006
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