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Levy noise-driven langevin equation and its time series–based reconstruction

Rahimi Tabar, M. R ; Sharif University of Technology | 2019

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  1. Type of Document: Article
  2. DOI: 10.1007/978-3-030-18472-8_10
  3. Publisher: Springer Verlag , 2019
  4. Abstract:
  5. In this chapter, we introduce Lévy noise-driven Langevin and fractional Fokker–Planck equations, and derive short-time propagator of the Lévy-driven processes. Then, we provide the details of the limit theorems for the Wiener and Lévy processes. Finally, non-parametric reconstruction of the Lévy-driven Langevin dynamics from time series is described. © 2019, Springer Nature Switzerland AG
  6. Keywords:
  7. Langevin equation ; Limit theorems ; Levy noise-driven ; Markovian properties ; Non-parametric reconstruction ; Short-time propagator
  8. Source: Understanding Complex Systems ; 2019 , Pages 87-98 ; 18600832 (ISSN)
  9. URL: https://link.springer.com/chapter/10.1007%2F978-3-030-18472-8_10