Effective filtering analysis for non-Gaussian dynamic systems

DOI10.1007/S00245-018-9552-3zbMATH Open1470.60172arXiv1803.07380OpenAlexW2963599682WikidataQ128648014 ScholiaQ128648014MaRDI QIDQ2019997FDOQ2019997

Authors: Yanjie Zhang, Huijie Qiao, Jinqiao Duan 

Publication date: 22 April 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: This work is about a slow-fast data assimilation system under non-Gaussian noisy fluctuations. Firstly, we show the existence of a random invariant manifold for a stochastic dynamical system with non-Gaussian noise and two-time scales. Secondly, we obtain a low dimensional reduction of this system via a random invariant manifold. Thirdly, we prove that the low dimensional filter on the random invariant manifold approximates the original filter, in a probabilistic sense.

Full work available at URL: https://arxiv.org/abs/1803.07380

Recommendations

• Effective filtering on a random slow manifold
• Effective filtering for multiscale stochastic dynamical systems in Hilbert spaces
• Data assimilation for a multiscale stochastic dynamical system with Gaussian noise
• scientific article
• Data assimilation and parameter estimation for a multiscale stochastic system with \(\alpha \)-stable Lévy noise

zbMATH Keywords

data assimilationZakai equationnon-Gaussian noise\(\alpha\)-stable noiserandom invariant manifold

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Invariant manifold theory for dynamical systems (37D10) Systems with slow and fast motions for nonlinear problems in mechanics (70K70)

Cites Work

• Lévy Processes and Stochastic Calculus
• Title not available (Why is that?)
• Title not available (Why is that?)
• Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
• An introduction to stochastic dynamics
• Fundamentals of stochastic filtering
• Invariant manifolds for random dynamical systems with slow and fast variables
• Slow manifolds for multi-time-scale stochastic evolutionary systems
• The ensemble Kalman filter for combined state and parameter estimation
• Nonlinear filtering of stochastic dynamical systems with Lévy noises
• Slow manifold and averaging for slow-fast stochastic differential system
• Synchronization of dissipative dynamical systems driven by non-Gaussian Lévy noises
• Two-time-scale stochastic partial differential equations driven by \(\alpha\)-stable noises: averaging principles
• On Transition Densities of Singularly Perturbed Diffusions with Fast and Slow Components
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
• State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method
• Data assimilation and parameter estimation for a multiscale stochastic system with \(\alpha \)-stable Lévy noise
• Nonlinear filtering of Itô-Lévy stochastic differential equations with continuous observations
• Effective filtering on a random slow manifold

Cited In (8)

• Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises
• Effective filtering for slow-fast systems via Wong-Zakai approximation
• Random dynamical systems: addressing uncertainty, nonlinearity and predictability
• Effective filtering for multiscale stochastic dynamical systems driven by Lévy processes
• Effective filtering for multiscale stochastic dynamical systems in Hilbert spaces
• Title not available (Why is that?)
• Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises
• Data assimilation and parameter estimation for a multiscale stochastic system with \(\alpha \)-stable Lévy noise

Uses Software

• EnKF

This page was built for publication: Effective filtering analysis for non-Gaussian dynamic systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2019997)