Abstract
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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
