科研之友
微信
新浪微博
Facebook
分享链接
摘要
We consider the Ornstein-Uhlenbeck process with a broad initial probability distribution (Levy 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 Levy index. A method based on continuous wavelet transformation is proposed to extract both (spectral and nonspectral) relaxation rates from a stochastic data sample.
- 出版日期2016-5-2
