On MAP Estimates and Source Conditions for Drift Identification in SDEs

PAMM 2026 Open access

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Authors: Daniel Tenbrinck, Nikolas Uesseler, Philipp Wacker, Benedikt Wirth
DOI: 10.1002/pamm.70135
Cited by: 0

Abstract

ABSTRACT We consider the inverse problem of identifying the drift in an stochastic differential equation (SDE) from observations of its solution at distinct time points. We derive a corresponding maximum a posteriori (MAP) estimate, we prove differentiability properties as well as a so‐called tangential cone condition for the forward operator, and we review the existing theory for related problems, which under a slightly stronger tangential cone condition would additionally yield convergence rates for the MAP estimate as . Numerical simulations in 1D indicate that such convergence rates indeed hold true.

Fields of Study & Subjects

Plasma Diagnostics and Applications Fluid Dynamics and Mixing Non-Destructive Testing Techniques

Publication details

Journal / source
PAMM
Volume
26
Issue
2
Publication date
24 April 2026
Language
EN