A parameter estimator based on Smoluchowski-Kramers approximation

09/27/2018

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by   Ziying He, et al.

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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 Γ-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.