Nonlocal Kramers-Moyal formulas and data-driven discovery of stochastic dynamical systems with multiplicative L\'evy noise

TL;DR

This paper introduces nonlocal Kramers-Moyal formulas that extend classical relations to stochastic systems with multiplicative Le9vy noise, enabling data-driven discovery of complex models with discontinuous, heavy-tailed fluctuations.

Contribution

It establishes a rigorous theoretical framework and algorithms for identifying SDE components with Le9vy noise from data, filling a gap in existing methods.

Findings

Validated algorithms through extensive numerical experiments.

Provided convergence results and error analysis.

Demonstrated broad applicability in various scientific fields.

Abstract

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 L\'evy processes, particularly when the noise is state-dependent. To bridge this gap, we establish nonlocal Kramers-Moyal formulas, rigorously generalizing the classical Kramers-Moyal relations to SDEs with multiplicative L\'evy 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, L\'evy jump measure kernel, and L\'evy noise intensity functions. Leveraging these theoretical foundations, we develop novel data-driven algorithms capable of simultaneously identifying all governing components from data and establish convergence results and error analysis for the algorithms. We validate the framework through extensive numerical experiments on prototypical systems. This 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.