The role of slow manifolds in parameter estimation for a multiscale stochastic system with -stable Lévy noise
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The role of slow manifolds in parameter estimation for a multiscale stochastic system with \(\alpha\)-stable Lévy noise
The role of slow manifolds in parameter estimation for a multiscale stochastic system with \(\alpha\)-stable Lévy noise
Invariant manifolds for ordinary differential equations (34C45) Singular perturbations for ordinary differential equations (34E15) Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) System identification (93B30)
Abstract: This work is about parameter estimation for a fast-slow stochastic system with non-Gaussian -stable L'evy noise. When the observations are only available for slow components, a system parameter is estimated and the accuracy for this estimation is quantified by -moment with , with the help of a reduced system through random slow manifold approximation. This method provides an advantage in computational complexity and cost, due to the dimension reduction in stochastic systems. To numerically illustrate this method, and to corroborate that the parameter estimator based on the reduced slow system is a good approximation for the true parameter value of the original system, a prototypical example is present.
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Cited in
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- Data assimilation and parameter estimation for a multiscale stochastic system with \(\alpha \)-stable Lévy noise
- Slow manifolds for multi-time-scale stochastic evolutionary systems
- Effective filtering on a random slow manifold
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