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By properties of joint and conditional pdfs: p(xn ) = p(xn , xn1 ) dxn1 = p(xn |xn1 )p(xn1 ) dxn1 = Ln [p(xn1 )]
Evolution of probabilities governed by operator L (which will be independent of time for a stationary process) If space of xn is nite integers, L is a matrix L and pn = Lpn1 = L p0 [where pn = (p(xn = 1), p(xn = 2), ..., p(xn = K))] For processes which conserve probability (e.g. i Lij = 1) the maximum eigenvalue of L is 1 with eigenvector ps (the stationary pdf). As n , pn approaches ps
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 13/64
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 14/64
Chapman-Kolmogorov equation
Again, by properties of joint and conditional pdfs: p(xn |xn2 ) = p(xn |xn1 )p(xn1 |xn2 ) dxn1
Chapman-Kolmogorov equation
For such a process the Chapman-Kolmogorov equation can be transformed into the PDE (with p = p(x(t)|x(t ))) 1 2 t p = x [a(x, t)p] + xx [b2 (x, t)p] 2 1 1 = x a bx b p + x [bx (bp)] 2 2 for the pdf at time t conditioned on the state of the system at time t This equation, known as the Fokker-Planck Equation (FPE), describes probability diffusing conservatively through state space from the original distribution If a, b independent of time pdf will approach stationary pdf ps : 1 2 0 = x [a(x)ps (x)] + xx [b2 (x)ps (x)] 2
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 16/64
an equation for the evolution of the transfer matrix p(xi |xj ); as a nonlinear integral equation its a bit tricky to solve Now focus on smooth processes with continuous paths and with nite mean a(x, t) (the drift) and variance b(x, t) (the diffusion) of the local tendency such that for (for all > 0) lim x(t + ) x(t) [x(t + ) x(t)]2 p(x(t + )|x(t)) dx p(x(t + )|x(t)) dx = = a(x, t) + O( ) b2 (x, t) + O( )
|x(t+)x(t)|<
lim
|x(t+)x(t)|<
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 15/64
1 2(t t )2
exp
(tt W )2 2(t t )
(t2 t1 W )2 2(t2 t1 )
exp
2(t3 t2 )
2(t2 t1 )
in particular, cov(t3 t2 W, t2 t1 W ) = 0
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 18/64
White noise
W (t) not strictly differentiable, but can formally dene white noise W (t + ) W (t) W (t) = lim 0 such that std(W (t)) = and cov(W (t), W (t )) =
, 0
lim E
W (t + ) W (t)
= (t t ) (because if t = t sufciently small increments dont overlap) White noise innitely fast, innitely strong with E W (t)W (t ) = (t t ) (note: mathematicians usually write dW (t ) = W (t )dt)
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 19/64
We conclude: W (t) has the dimensions of one over the square root of time; has important implications for estimating the coefcient of white noise in stochastic differential equations
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 20/64
In this limit, red noise becomes white noise scaled by factor Power spectra are Fourier transforms of autocovariances: 1 2
S()/( )
2 2
As initial transients die out (t ) p(x) approaches stationary pdf with mean zero and stationary autocovariance cov(x(t), x(t )) = 2 exp(|t t |/ ) 2
0.2
2 2 2(1 + 2 2 )
0.05
0 5 10
10
10
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 22/64
x(t) = et/ x0 +
0
e(tt )/ W (t ) dt
x(t) is a Gaussian stochastic process with same mean and autocovariance as O-U process: in fact, this is a pathwise description of red noise as a weighted integral of white noise
20
40
60
80
100
dx = x + W dt
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 24/64
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 23/64