Data assimilation and parameter estimation for a multiscale stochastic system with -stable Lévy noise
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Publication:3302899
Abstract: This work is about low dimensional reduction for a slow-fast data assimilation system with non-Gaussian stable L'evy noise via stochastic averaging. When the observations are only available for slow components, we show that the averaged, low dimensional filter approximates the original filter, by examining the corresponding Zakai stochastic partial differential equations. Furthermore, we demonstrate that the low dimensional slow system approximates the slow dynamics of the original system, by examining parameter estimation and most probable paths.
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Cited in
(13)- Data assimilation for a multiscale stochastic dynamical system with Gaussian noise
- The role of slow manifolds in parameter estimation for a multiscale stochastic system with \(\alpha\)-stable Lévy noise
- Effective filtering for multiscale stochastic dynamical systems driven by Lévy processes
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