相关论文: Extracting strong measurement noise from stochasti…

A new approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For the case of Gaussian distributed, exponentially correlated, measurement noise it is possible to extract the…

Many stochastic time series can be described by a Langevin equation composed of a deterministic and a stochastic dynamical part. Such a stochastic process can be reconstructed by means of a recently introduced nonparametric method, thus…

An extension and generalization of a recently presented approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For a stochastic process in N dimensions which is superimposed…

The stochastic properties of a Langevin-type Markov process can be extracted from a given time series by a Markov analysis. Also processes that obey a stochastically forced second order differential equation can be analyzed this way by…

This article reports on a new approach to properly analyze time series of dynamical systems which are spoilt by the simultaneous presence of dynamical noise and measurement noise. It is shown that even strong external measurement noise as…

With the rapid increase of valuable observational, experimental and simulated data for complex systems, much efforts have been devoted to identifying governing laws underlying the evolution of these systems. Despite the wide applications of…

This letter reports on a new method of analysing experimentally gained time series with respect to different types of noise involved, namely, we show that it is possible to differentiate between dynamical and measurement noise. This method…

We describe a simple stochastic method, so-called Langevin approach, which enables one to extract evolution equations of stochastic variables from a set of measurements. Our method is parameter-free and it is based on the nonlinear Langevin…

Starting from the simple point process model of 1/f noise we derive a stochastic nonlinear differential equation for the signal exhibiting 1/f noise in any desirably wide range of frequency. A stochastic differential equation (the general…

Recovering a stochastic process from noisy ensembles of single particle trajectories (SPTs) is resolved here using the Langevin equation as a model. The massive redundancy contained in SPTs data allows recovering local parameters of the…

Recently, several powerful tools for the reconstruction of stochastic differential equations from measured data sets have been proposed [e.g. Siegert et al., Physics Letters A 243, 275 (1998); Hurn et al., Journal of Time Series Analysis…

Langevin models are frequently used to model various stochastic processes in different fields of natural and social sciences. They are adapted to measured data by estimation techniques such as maximum likelihood estimation, Markov chain…

The Langevin algorithm is a classic method for sampling from a given pdf in a real space. In its basic version, it only requires knowledge of the gradient of the log-density, also called the score function. However, in deep learning, it is…

This paper deals with the analysis of stochastic systems which can be described by a Langevin equation. By the method presented in this paper drift and diffusion terms of the corresponding Fokker-Planck equation can be extracted from the…

The measured time series from complex systems are renowned for their intricate stochastic behavior, characterized by random fluctuations stemming from external influences and nonlinear interactions. These fluctuations take diverse forms,…

With the rapid increase of valuable observational, experimental and simulating data for complex systems, great efforts are being devoted to discovering governing laws underlying the evolution of these systems. However, the existing…

Despite extensive research, time series classification and forecasting on noisy data remain highly challenging. The main difficulties lie in finding suitable mathematical concepts to describe time series and effectively separate noise from…

Many physical systems characterized by nonlinear multiscale interactions can be effectively modeled by treating unresolved degrees of freedom as random fluctuations. However, even when the microscopic governing equations and qualitative…

We derive a method to reconstruct Gaussian signals from linear measurements with Gaussian noise. This new algorithm is intended for applications in astrophysics and other sciences. The starting point of our considerations is the principle…

By introducing a new stochastic integral, we investigate the energetics of classical stochastic systems driven by non-Gaussian white noises. In particular, we introduce a decomposition of the total-energy difference into the work and the…