Weak Collocation Regression for Inferring Stochastic Dynamics with L\'{e}vy Noise

• URL: http://arxiv.org/abs/2403.08292v1
• Date: Wed, 13 Mar 2024 06:54:38 GMT
• Title: Weak Collocation Regression for Inferring Stochastic Dynamics with L\'{e}vy Noise
• Authors: Liya Guo, Liwei Lu, Zhijun Zeng, Pipi Hu, Yi Zhu
• Abstract summary: We propose a weak form of the Fokker-Planck (FP) equation for extracting dynamics with L'evy noise. Our approach can simultaneously distinguish mixed noise types, even in multi-dimensional problems.
• Score: 8.15076267771005
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: With the rapid increase of observational, experimental and simulated data for stochastic systems, tremendous efforts have been devoted to identifying governing laws underlying the evolution of these systems. Despite the broad applications of non-Gaussian fluctuations in numerous physical phenomena, the data-driven approaches to extracting stochastic dynamics with L\'{e}vy noise are relatively few. In this work, we propose a Weak Collocation Regression (WCR) to explicitly reveal unknown stochastic dynamical systems, i.e., the Stochastic Differential Equation (SDE) with both $\alpha$-stable L\'{e}vy noise and Gaussian noise, from discrete aggregate data. This method utilizes the evolution equation of the probability distribution function, i.e., the Fokker-Planck (FP) equation. With the weak form of the FP equation, the WCR constructs a linear system of unknown parameters where all integrals are evaluated by Monte Carlo method with the observations. Then, the unknown parameters are obtained by a sparse linear regression. For a SDE with L\'{e}vy noise, the corresponding FP equation is a partial integro-differential equation (PIDE), which contains nonlocal terms, and is difficult to deal with. The weak form can avoid complicated multiple integrals. Our approach can simultaneously distinguish mixed noise types, even in multi-dimensional problems. Numerical experiments demonstrate that our method is accurate and computationally efficient.

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