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Arbitrary-Order Finite-Time Corrections for the Kramers–Moyal Operator

With the aim of improving the reconstruction of stochastic evolution equations from empirical time-series data, we derive a full representation of the generator of the Kramers–Moyal operator via a power-series expansion of the exponential operator. This expansion is necessary for deriving the differ...

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Uloženo v:
Hlavní autoři: Leonardo Rydin Gorjão, Dirk Witthaut, Klaus Lehnertz, Pedro G. Lind
Médium: Artigo
Jazyk:Inglês
Vydáno: MDPI AG 2021-04-01
Edice:Entropy
Témata:
stochastic processes
Kramers–Moyal equation
Kramers–Moyal coefficients
Fokker–Planck equation
arbitrary-order approximations
non-parametric estimators
On-line přístup:https://www.mdpi.com/1099-4300/23/5/517
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