Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5497037 | Physics Letters A | 2017 | 13 Pages |
Abstract
This paper presents a direct method to obtain the deterministic and stochastic contribution of the sum of two independent stochastic processes, one of which is an Ornstein-Uhlenbeck process and the other a general (non-linear) Langevin process. The method is able to distinguish between the stochastic processes, retrieving their corresponding stochastic evolution equations. This framework is based on a recent approach for the analysis of multidimensional Langevin-type stochastic processes in the presence of strong measurement (or observational) noise, which is here extended to impose neither constraints nor parameters and extract all coefficients directly from the empirical data sets. Using synthetic data, it is shown that the method yields satisfactory results.
Related Topics
Physical Sciences and Engineering
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Authors
Teresa Scholz, Frank Raischel, Vitor V. Lopes, Bernd Lehle, Matthias Wächter, Joachim Peinke, Pedro G. Lind,