Second- and third-order properties of multidimensional Langevin equations
Fuente:
arXiv
Guardado en:
| Autor principal: | |
|---|---|
| Formato: | Preprint |
| Publicado: |
2023
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866914456359927808 |
|---|---|
| author | Low, Yeeren I. |
| author_facet | Low, Yeeren I. |
| contents | Recent work has addressed the problem of inferring Langevin dynamics from data. In this work, we address the problem of relating terms in the Langevin equation to statistical properties, such as moments of the probability density function and of the probability current density, as well as covariance functions. We first review the case of linear Gaussian dynamics, and then consider extensions beyond this simple case. We address the question of quantitative significance of effects. We also analyze underdamped (second-order) processes, specifically in the limit where dynamics in state space is almost Markovian. Finally, we address detection of non-Markovianity. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2312_04585 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Second- and third-order properties of multidimensional Langevin equations Low, Yeeren I. Statistical Mechanics Data Analysis, Statistics and Probability Quantitative Methods Recent work has addressed the problem of inferring Langevin dynamics from data. In this work, we address the problem of relating terms in the Langevin equation to statistical properties, such as moments of the probability density function and of the probability current density, as well as covariance functions. We first review the case of linear Gaussian dynamics, and then consider extensions beyond this simple case. We address the question of quantitative significance of effects. We also analyze underdamped (second-order) processes, specifically in the limit where dynamics in state space is almost Markovian. Finally, we address detection of non-Markovianity. |
| title | Second- and third-order properties of multidimensional Langevin equations |
| topic | Statistical Mechanics Data Analysis, Statistics and Probability Quantitative Methods |
| url | https://arxiv.org/abs/2312.04585 |