Data assimilation and parameter estimation for a multiscale stochastic system with -stable Lévy noise

DOI10.1088/1742-5468/AA9343zbMATH Open1456.60093arXiv1801.02846OpenAlexW2963867698MaRDI QIDQ3302899FDOQ3302899

Authors: Yanjie Zhang, Zhuan Cheng, Xinyong Zhang, Xiaoli Chen, Xiaofan Li, Jinqiao Duan 

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Abstract: This work is about low dimensional reduction for a slow-fast data assimilation system with non-Gaussian $alpha-$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.

Full work available at URL: https://arxiv.org/abs/1801.02846

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Mathematics Subject Classification ID

Point estimation (62F10) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cited In (13)

• Approximation of the numerical simulation in conjunction with one data assimilation method by stochastic process of Ornstein-Uhlenbeck type
• The role of slow manifolds in parameter estimation for a multiscale stochastic system with \(\alpha\)-stable Lévy noise
• Random attractors for stochastic Navier-Stokes equation on a 2D rotating sphere with stable Lévy noise
• Effective filtering analysis for non-Gaussian dynamic systems
• Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises
• Dynamical inference for transitions in stochastic systems with \(\alpha\)-stable Lévy noise
• Effective filtering for multiscale stochastic dynamical systems driven by Lévy processes
• Effective reduction for a nonlocal Zakai stochastic partial differential equation in data assimilation
• Lévy noise induced transition and enhanced stability in a gene regulatory network
• Noise-induced vegetation transitions in the Grazing Ecosystem
• Strong and weak convergence rates for slow-fast stochastic differential equations driven by \(\alpha \)-stable process
• Data assimilation for a multiscale stochastic dynamical system with Gaussian noise
• Multiscale data synthesis algorithm based on multiscale stochastic model

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