When studying the behaviour of complex dynamical systems, a statistical formulation can provide useful insights. In particular, information geometry is a promising tool for this purpose. In this paper, we investigate the information length for n-dimensional linear autonomous stochastic processes, providing a basic theoretical framework that can be applied to a large set of problems in engineering and physics. A specific application is made to a harmonically bound particle system with the natural oscillation frequency ω, subject to a damping γ and a Gaussian white-noise. We explore how the information length depends on ω and γ, elucidating the role of critical damping γ = 2ω in information geometry. Furthermore, in the long time limit, we show that the information length reflects the linear geometry associated with the Gaussian statistics in a linear stochastic process.
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FunderLeverhulme Trust Research Fellowship (RF-2018-142-9).
- Information geometry
- Information length
- Stochastic processes
- Time-dependent PDF
ASJC Scopus subject areas
- Physics and Astronomy(all)