An end-to-end deep learning approach for extracting stochastic dynamical systems with $\alpha$-stable L\'evy noise

TL;DR

This paper introduces a novel deep learning framework to identify stochastic dynamical systems driven by non-Gaussian $$-stable Le9vy noise using only pairwise data, overcoming limitations of traditional methods.

Contribution

It presents the first end-to-end deep learning method capable of learning both drift and diffusion coefficients for $$-stable Le9vy driven systems without restrictions on noise intensity.

Findings

Successfully identifies stochastic systems with $$-stable Le9vy noise

Outperforms traditional non-local Kramers-Moyal methods in experiments

Handles complex multiplicative noise without small noise assumptions

Abstract

Recently, extracting data-driven governing laws of dynamical systems through deep learning frameworks has gained a lot of attention in various fields. Moreover, a growing amount of research work tends to transfer deterministic dynamical systems to stochastic dynamical systems, especially those driven by non-Gaussian multiplicative noise. However, lots of log-likelihood based algorithms that work well for Gaussian cases cannot be directly extended to non-Gaussian scenarios which could have high error and low convergence issues. In this work, we overcome some of these challenges and identify stochastic dynamical systems driven by $\alpha$-stable L\'evy noise from only random pairwise data. Our innovations include: (1) designing a deep learning approach to learn both drift and diffusion coefficients for L\'evy induced noise with $\alpha$ across all values, (2) learning complex multiplicative noise without restrictions on small noise intensity, (3) proposing an end-to-end complete framework for stochastic systems identification under a general input data assumption, that is, $\alpha$-stable random variable. Finally, numerical experiments and comparisons with the non-local Kramers-Moyal formulas with moment generating function confirm the effectiveness of our method.