Langevin equations from time series

E. Racca, A. Porporato

Research output: Contribution to journalArticle

6 Scopus citations

Abstract

We discuss the link between the approach to obtain the drift and diffusion of one-dimensional Langevin equations from time series, and Pope and Ching's relationship for stationary signals. The two approaches are based on different interpretations of conditional averages of the time derivatives of the time series at given levels. The analysis provides a useful indication for the correct application of Pope and Ching's relationship to obtain stochastic differential equations from time series and shows its validity, in a generalized sense, for nondifferentiable processes originating from Langevin equations.

Original languageEnglish (US)
Article number027101
JournalPhysical Review E - Statistical, Nonlinear, and Soft Matter Physics
Volume71
Issue number2
DOIs
StatePublished - Feb 1 2005
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Statistical and Nonlinear Physics
  • Statistics and Probability
  • Condensed Matter Physics

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