Effective filtering analysis for non-Gaussian dynamic systems

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

Yanjie Zhang, Jinqiao Duan, Huijie Qiao

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

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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)

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Cited In (4)

• Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises
• Effective filtering for multiscale stochastic dynamical systems driven by Lévy processes
• Title not available (Why is that?)
• Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises

Uses Software

• EnKF

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