Exact corrections for finite-time drift and diffusion coefficients

Details Exact corrections for finite-time drift and diffusion coefficients Exact corrections for finite-time drift and diffusion coefficients

2009-05-19

arxiv.org/abs/0905.3196v1

Phys. Rev. E 80, 031103 (2009)

Physics

Data Analysis, Statistics and Probability

18 pages, 5 figures

Scientific paper

Real data are constrained to finite sampling rates, which calls for a suitable mathematical description of the corrections to the finite-time estimations of the dynamic equations. Often in the literature, lower order discrete time approximations of the modeling diffusion processes are considered. On the other hand, there is a lack of simple estimating procedures based on higher order approximations. For standard diffusion models, that include additive and multiplicative noise components, we obtain the exact corrections to the empirical finite-time drift and diffusion coefficients, based on It\^o-Taylor expansions. These results allow to reconstruct the real hidden coefficients from the empirical estimates. We also derive higher-order finite-time expressions for the third and fourth conditional moments, that furnish extra theoretical checks for that class of diffusive models. The theoretical predictions are compared with the numerical outcomes of some representative artificial time-series.

Affiliated with

Also associated with

No associations

Rating

Exact corrections for finite-time drift and diffusion coefficients does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Exact corrections for finite-time drift and diffusion coefficients, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Exact corrections for finite-time drift and diffusion coefficients will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-242016