RECONSTRUCTION OF THE DETERMINISTIC DYNAMICS OF STOCHASTIC SYSTEMS

DOI10.1142/S0218127404010436MaRDI QIDQ4669145zbMATH OpenOpenAlexFDO

Authors Malte Siefert, J. Peinke

Publication date 15 April 2005

Published in International Journal of Bifurcation and Chaos in Applied Sciences and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0218127404010436

zbMATH Keywords

stochastic processesnonlinear dynamicsstochastic analysis methodsTime series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Recommendations

• Simultaneous modeling of nonlinear deterministic and stochastic dynamics
• Dynamic reconstruction of disturbances in stochastic differential equations
• Estimating Kramers-Moyal coefficients in short and non-stationary data sets
• Reconstruction of diffusion using spectral data from time series
• Reconstruction of random-disturbance amplitude in linear stochastic equations from measurements of some of the coordinates

Cites work

• scientific article; zbMATH DE number 1042219 (Why is no real title available?)
• Delay embedding in the presence of dynamical noise
• Evidence of Markov properties of high frequency exchange rate data
• Experimental indications for Markov properties of small-scale turbulence
• Parameter estimation in nonlinear stochastic differential equations
• THE RECONSTRUCTION OF THE FOKKER-PLANCK AND MASTER EQUATIONS ON THE BASIS OF EXPERIMENTAL DATA: H-THEOREM AND S-THEOREM
• Takens embedding theorems for forced and stochastic systems

Cited in

(12)

• scientific article; zbMATH DE number 1432186 (Why is no real title available?)
• scientific article; zbMATH DE number 4031548 (Why is no real title available?)
• Joint reconstruction and prediction of random dynamical systems under borrowing of strength
• Analysis and Data-Based Reconstruction of Complex Nonlinear Dynamical Systems
• From probabilistic descriptions to deterministic dynamics
• On universal features of the turbulent cascade in terms of non-equilibrium thermodynamics
• Bivariate time-periodic Fokker-Planck model for freeway traffic
• Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions
• PARSIMONIOUS DYNAMICAL RECONSTRUCTION
• Reconstructing latent dynamical noise for better forecasting observables
• Estimating Kramers-Moyal coefficients in short and non-stationary data sets
• A Bayesian nonparametric approach to reconstruction and prediction of random dynamical systems

This page was built for publication: RECONSTRUCTION OF THE DETERMINISTIC DYNAMICS OF STOCHASTIC SYSTEMS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4669145)