Langevin equations from time series.


Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Racca, E; Porporato, A

Published Date

  • February 9, 2005

Published In

Volume / Issue

  • 71 / 2 Pt 2

Start / End Page

  • 027101 -

PubMed ID

  • 15783455

Pubmed Central ID

  • 15783455

Electronic International Standard Serial Number (EISSN)

  • 1550-2376

International Standard Serial Number (ISSN)

  • 1539-3755

Digital Object Identifier (DOI)

  • 10.1103/physreve.71.027101


  • eng