DEPARTMENT OF MATHEMATICAL SCIENCES

APPLIED AND COMPUTATIONAL MATHEMATICS SEMINAR

**Speaker:**John Harlim, Penn State University

**Title: ***
Estimating parameters of Ito diffusion using the fluctuation dissipation theory response statistics
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**Abstract:**
I will discuss a new parameter estimation method for Ito diffusions such that the resulting model predicts the equilibrium statistics as well as the sensitivities of the underlying system to external disturbances. Our formulation does not require the knowledge of the underlying system, however, we assume that the linear response statistics can be computed via the fluctuation-dissipation theory. The main idea is to fit the model to a finite set of ``essential" statistics that is sufficient to approximate the linear response operators. I will discuss the consistency of the method and the numerical performance of the scheme applied on a class of Langevin equations and stochastic gradient flows.

**Time:** Friday, November 10, 2017, 1:30-2:30pm

**Place:** Exploratory Hall, Room 4106

Department of Mathematical Sciences

George Mason University

4400 University Drive, MS 3F2

Fairfax, VA 22030-4444

http://math.gmu.edu/

Tel. 703-993-1460, Fax. 703-993-1491