Nonspectral modes and how to find them in the Ornstein-Uhlenbeck process with white μ-stable noise.
Nonspectral modes and how to find them in the Ornstein-Uhlenbeck process with white μ-stable noise.
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非谱模式以及如何在具有 Î⁄ 稳定白噪声的 Ornstein-Uhlenbeck 过程中找到它们
DOI：
10.1103/physreve.93.052104
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
E.B. Postnikov
中科院分区：
文献类型：
--
作者：
F. Thiel;I.M. Sokolov;E.B. Postnikov
我们考虑具有宽初始概率分布（Lévy分布）的Ornstein-Uhlenbeck过程，它表现出所谓的非谱模式。这种模式的弛豫速率不同于从相应的福克-普朗克方程的参数确定的那些。第一个非谱模式示出管理的松弛过程，并允许估计的初始分布的Lévy指数。提出了一种基于连续小波变换的方法，从随机数据样本中提取谱松弛率和非谱松弛率。
We consider the Ornstein-Uhlenbeck process with a broad initial probability distribution (Lévy distribution), which exhibits so-called nonspectral modes. The relaxation rate of such modes differs from those determined from the parameters of the corresponding Fokker-Plank equation. The first nonspectral mode is shown to govern the relaxation process and allows for estimation of the initial distribution's Lévy index. A method based on continuous wavelet transformation is proposed to extract both (spectral and nonspectral) relaxation rates from a stochastic data sample.