Non-Gaussian Test Models for Prediction and State Estimation with Model Errors

DOI10.1007/978-3-642-41401-5_4zbMath1334.60058OpenAlexW4248215806MaRDI QIDQ5261566

Nan Chen, Andrew J. Majda, Michal Branicki

Publication date: 6 July 2015

Published in: Partial Differential Equations: Theory, Control and Approximation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-41401-5_4

zbMATH Keywords

predictionFokker-Planck equationsinformation theorymodel errorturbulent dynamical systemsFeynman-Kac frameworknon-Gaussian test models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Information theory (general) (94A15) Prediction theory (aspects of stochastic processes) (60G25) Fokker-Planck equations (35Q84)

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Efficient statistically accurate algorithms for the Fokker-Planck equation in large dimensions ⋮ Rigorous Analysis for Efficient Statistically Accurate Algorithms for Solving Fokker--Planck Equations in Large Dimensions

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