Berlin 2005 – wissenschaftliches Programm

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DY: Dynamik und Statistische Physik

DY 34: Poster

DY 34.27: Poster

Montag, 7. März 2005, 15:30–18:00, Poster TU D

The influence of measurement noise on esimating drift and diffusion coefficients — •Frank Böttcher and Joachim Peinke — Carl von Ossietzky University of Oldenburg

A new method of analysing measurement noise which is superimposed to a dynamical system is presented. It is shown that it is possible to distinguish between external measurement noise and dynamical noise which is an intrinsic part of the process. The distinction is based on the evaluation of the conditional moments that exhibit an increased offset with increasing measurement noise. It is found that the first moment shows an unexpected offset the second moment a modified one compared to the findings of earlier works.

For an Ornstein-Uhlenbeck process it is analytically possible to reconstruct the underlying process dynamics even for very large external noise amplitudes.