Arbitrary-order corrections for finite-time drift and diffusion coefficients.
We address a standard class of diffusion processes with linear drift and quadratic diffusion coefficients. These contributions to dynamic equations can be directly drawn from data time series. However, real data are constrained to finite sampling rates and therefore it is crucial to establish a suitable mathematical description of the required finite-time corrections. Based on Itô-Taylor expansions, we present the exact corrections to the finite-time drift and diffusion coefficients. These results allow to reconstruct the real hidden coefficients from the empirical estimates. We also derive higher-order finite-time expressions for the third and fourth conditional moments that furnish extra theoretical checks for this class of diffusion models. The analytical predictions are compared with the numerical outcomes of representative artificial time series.
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Department of Physics, PUC-Rio and National Institute of Science and Technology for Complex Systems, CP 38071, 22452-970 Rio de Janeiro, Brazil. celia@fis.puc-rio.br
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