Koopman Spectral Analysis and System Identification for Stochastic Dynamical Systems via Yosida Approximation of Generators

Abstract: System identification and Koopman spectral analysis are crucial for uncovering physical laws and understanding the long-term behaviour of stochastic dynamical systems governed by stochastic differential equations (SDEs). In this work, we propose a novel method for estimating the Koopman generator of systems of SDEs, based on the theory of resolvent operators and the Yosida approximation. This enables both spectral analysis and accurate estimation and reconstruction of system parameters. The proposed approach relies on only mild assumptions about the system and effectively avoids the error amplification typically associated with direct numerical differentiation. It remains robust even under low sampling rates or with only a single observed trajectory, reliably extracting dominant spectral modes and dynamic features. We validate our method on two simple systems and compare it with existing techniques as benchmarks. The experimental results demonstrate the effectiveness and improved performance of our approach in system parameter estimation, spectral mode extraction, and overall robustness.