Dresden 2003 – wissenschaftliches Programm
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DY: Dynamik und Statistische Physik
DY 24: Nonlinear stochastic systems
DY 24.8: Vortrag
Dienstag, 25. März 2003, 16:30–16:45, G\"OR/226
Measuring probability currents from data — •Holger Kantz1, Wolfram Just2, Mario Ragwitz1, and Frank Schmüser1 — 1Max-Planck-Insitut für Physik komplexer Systeme, Nöthnitzer Str. 38, D 01187 Dresden, Deutschland — 2Theoretische Physik I, TU Chemnitz, D-09107 Chemnitz, Germany
We present a simple method to estimate probability currents of stochastic systems from a given time series. The method uses results of the theory of stochastic differential equations about conditional averages. Evaluation of the probability current directly aims at detecting the violation of detailed balance and hence yields the proper characterisation of nonequilibrium behaviour. We apply our approach to stochastic resonance and propose a novel resonance criterion which is based on the evaluation of the probability current. It agrees well with other measures, e.g. derived from correlations or signal to noise ratios. Finally we demostrate on an example of experimental wind data that our approach copes with real experimental data sets as well.