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Langevin equations from time series.

Publication ,  Journal Article
Racca, E; Porporato, A
Published in: Physical review. E, Statistical, nonlinear, and soft matter physics
February 2005

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.

Duke Scholars

Published In

Physical review. E, Statistical, nonlinear, and soft matter physics

DOI

EISSN

1550-2376

ISSN

1539-3755

Publication Date

February 2005

Volume

71

Issue

2 Pt 2

Start / End Page

027101

Related Subject Headings

  • Fluids & Plasmas
  • 09 Engineering
  • 02 Physical Sciences
  • 01 Mathematical Sciences
 

Citation

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Racca, E., & Porporato, A. (2005). Langevin equations from time series. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics, 71(2 Pt 2), 027101. https://doi.org/10.1103/physreve.71.027101
Racca, E., and A. Porporato. “Langevin equations from time series.Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics 71, no. 2 Pt 2 (February 2005): 027101. https://doi.org/10.1103/physreve.71.027101.
Racca E, Porporato A. Langevin equations from time series. Physical review E, Statistical, nonlinear, and soft matter physics. 2005 Feb;71(2 Pt 2):027101.
Racca, E., and A. Porporato. “Langevin equations from time series.Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics, vol. 71, no. 2 Pt 2, Feb. 2005, p. 027101. Epmc, doi:10.1103/physreve.71.027101.
Racca E, Porporato A. Langevin equations from time series. Physical review E, Statistical, nonlinear, and soft matter physics. 2005 Feb;71(2 Pt 2):027101.

Published In

Physical review. E, Statistical, nonlinear, and soft matter physics

DOI

EISSN

1550-2376

ISSN

1539-3755

Publication Date

February 2005

Volume

71

Issue

2 Pt 2

Start / End Page

027101

Related Subject Headings

  • Fluids & Plasmas
  • 09 Engineering
  • 02 Physical Sciences
  • 01 Mathematical Sciences