<< ️Traditional data-driven methods, effective for deterministic systems or stochastic differential equations (SDEs) with Gaussian noise, fail to handle the discontinuous sample paths and heavy-tailed fluctuations characteristic of Lévy processes, particularly when the noise is state-dependent. >>
<< ️To bridge this gap, (AA) establish nonlocal Kramers-Moyal formulas, rigorously generalizing the classical Kramers-Moyal relations to SDEs with multiplicative Lévy noise. These formulas provide a direct link between short-time transition probability densities (or sample path statistics) and the underlying SDE coefficients: the drift vector, diffusion matrix, Lévy jump measure kernel, and Lévy noise intensity functions. >>
<< This (AA) work provides a principled and practical toolbox for discovering interpretable SDE models governing complex systems influenced by discontinuous, heavy-tailed, state-dependent fluctuations, with broad applicability in climate science, neuroscience, epidemiology, finance, and biological physics. >>
Yang Li, Jinqiao Duan. Nonlocal Kramers-Moyal formulas and data-driven discovery of stochastic dynamical systems with multiplicative Lévy noise. arXiv: 2601.19223v1 [math.DS]. Jan 27, 2026.
Also: noise, random, transition, disorder & fluctuations, in https://www.inkgmr.net/kwrds.html
Keywords: gst, noise, randomness, transitions, fluctuations.
