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arXiv · 2302.08036

Detecting Stochastic Governing Laws with Observation on Stationary Distributions

Xiaoli Chen·Hui Wang·Jinqiao Duan
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Abstract

Mathematical models for complex systems are often accompanied with uncertainties. The goal of this paper is to extract a stochastic differential equation governing model with observation on stationary probability distributions. We develop a neural network method to learn the drift and diffusion terms of the stochastic differential equation. We introduce a new loss function containing the Hellinger distance between the observation data and the learned stationary probability density function. We discover that the learnt stochastic differential equation provides a fair approximation of the data-driven dynamical system after minimizing this loss function during the training method. The effectiveness of our method is demonstrated in numerical experiments.

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Xiaoli Chen, Hui Wang, Jinqiao Duan. 2023-02-16. Detecting Stochastic Governing Laws with Observation on Stationary Distributions. https://doi.org/10.1016/j.physd.2023.133691

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