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DY: Dynamik und Statistische Physik

DY 24: Nonlinear stochastic systems

DY 24.8: Talk

Tuesday, March 25, 2003, 16:30–16:45, G\"OR/226

Measuring probability currents from data — •Holger Kantz¹, Wolfram Just², Mario Ragwitz¹, and Frank Schmüser¹ — ¹Max-Planck-Insitut für Physik komplexer Systeme, Nöthnitzer Str. 38, D 01187 Dresden, Deutschland — ²Theoretische Physik I, TU Chemnitz, D-09107 Chemnitz, Germany

We present a simple method to estimate probability currents of stochastic systems from a given time series. The method uses results of the theory of stochastic differential equations about conditional averages. Evaluation of the probability current directly aims at detecting the violation of detailed balance and hence yields the proper characterisation of nonequilibrium behaviour. We apply our approach to stochastic resonance and propose a novel resonance criterion which is based on the evaluation of the probability current. It agrees well with other measures, e.g. derived from correlations or signal to noise ratios. Finally we demostrate on an example of experimental wind data that our approach copes with real experimental data sets as well.