Papers › Analyzing a stochastic process driven by Ornstein-Uhlenbeck noise
Analyzing a stochastic process driven by Ornstein-Uhlenbeck noise
B. Lehle, J. Peinke
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A scalar Langevin-type process X(t) that is driven by Ornstein-Uhlenbeck noise η(t) is non-Markovian. However, the joint dynamics of X and η is described by a Markov process in two dimensions. But even though there exists a variety of techniques for the analysis of Markov processes, it is still a challenge to estimate the process parameters solely based on a given time series of X. Such a partially observed 2D-process could, e.g., be analyzed in a Bayesian framework using Markov chain Monte Carlo methods. Alternatively, an embedding strategy can be applied, where first the joint dynamic of X and its temporal derivative Ẋ is analyzed. Subsequently the results can be used to determine the process parameters of X and η. In this paper, we propose a more direct approach that is purely based on the moments of the increments of X, which can be estimated for different time-increments τ from a given time series. From a stochastic Taylor-expansion of X, analytic expressions for these moments can be derived, which can be used to estimate the process parameters by a regression strategy.
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