Stochastic and Multiscale Modeling and Computation Seminar by Yubin Lu: Data-Driven Non-Gaussian Stochastic Dynamics: System Learning and Probability Distribution Estimation

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  3. Stochastic and Multiscale Modeling and Computation Seminar by Yubin Lu: Data-Driven Non-Gaussian Stochastic Dynamics: System Learning and Probability Distribution Estimation

Speaker: Yubin Liu, Huizhou University

Title: Data-Driven Non-Gaussian Stochastic Dynamics: System Learning and Probability Distribution Estimation

Abstract: In this talk, we will introduce two aspects of data-driven analysis of non-Gaussian stochastic dynamics, i.e., extracting stochastic governing laws and estimating transition probability density. To be specific, on one hand, we will show how to learn a stochastic differential equation with L\'evy noise from data. On the other hand, we will show how to estimate the evolution of the transition probability density from sample path data. Some numerical results will also be introduced.

 

Stochastic and Multiscale Modeling and Computation Seminar

 

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