Dresden 2020 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 7: Data analytics for dynamical systems I (Focus Session joint with DY and BP) (joint session SOE/BP/CPP/DY)

SOE 7.4: Talk

Tuesday, March 17, 2020, 10:45–11:00, GÖR 226

Estimation of Langevin equations with correlated noise for signals of complex systems — •Clemens Willers and Oliver Kamps — Institut für Theoretische Physik, Westfälische Wilhelms-Universität Münster, Germany

Over the last years, the estimation of stochastic evolution equations of complex systems has been applied in many scientific fields ranging from physics to biology and finance. Especially, Langevin models with delta-correlated noise terms, which realize a Markovian dynamic, have been used successfully in this context [1]. However, many real world data sets exhibit correlated noise and a non-Markovian dynamic, for example data sets from turbulence [2].

To tackle this problem, we use Langevin models containing an added hidden component which realizes a driving correlated noise. We develop two methods for the systematic estimation of the drift- and diffusion functions, parameterized through spline functions. The first method is based on a likelihood function which is constructed by a short-time propagator for the measured values of the visible component. For the second method, we use a comparison of transition probabilities via Jensen-Shannon divergence. Both methods are demonstrated using real world data sets as the turbulent air flow of a free jet [3], stock market prices [4] and wind energy production [5].

[1] Friedrich et al., Phys. Rep. 506, 87 (2011) [2] Friedrich et al., Phys. Rev. Lett. 78, 863 (1997) [3] Renner et al., J. Fluid Mech. 433, 383 (2001) [4] Nawroth et al., Eur. Phys. J. B 50, 147 (2006) [5] Kamps, in Wind Energy-Impact of Turbulence, Springer 2014, p. 67.