Finite sampling interval effects in Kramers-Moyal analysis

DOI10.1016/J.PHYSLETA.2009.08.029zbMath1233.82033arXiv0905.4324OpenAlexW2010393648MaRDI QIDQ665416

Steven J. Lade

Publication date: 5 March 2012

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.4324

zbMATH Keywords

Fokker-Planck equationadjoint operatormolecular motorsfinite sampling intervalKramers-Moyal coefficientstethered diffusion

Mathematics Subject Classification ID

Biochemistry, molecular biology (92C40) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Transport processes in time-dependent statistical mechanics (82C70) Time series analysis of dynamical systems (37M10)

Related Items (4)

Finite sampling interval effects in Kramers-Moyal analysis ⋮ Robust identification of harmonic oscillator parameters using the adjoint Fokker–Planck equation ⋮ Enhancing the accuracy of a data-driven reconstruction of bivariate jump-diffusion models with corrections for higher orders of the sampling interval ⋮ Data-driven stochastic modeling of coarse-grained dynamics with finite-size effects using Langevin regression

Cites Work

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• Finite sampling interval effects in Kramers-Moyal analysis
• Maximum likelihood estimation of drift and diffusion functions
• The Fokker-Planck equation. Methods of solution and applications
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Reconstruction of dynamical equations for traffic flow
• A note on estimating drift and diffusion parameters from time series
• An iterative procedure for the estimation of drift and diffusion coefficients of langevin processes
• Experimental indications for Markov properties of small-scale turbulence

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