Effective reduction for a nonlocal Zakai stochastic partial differential equation in data assimilation
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Fractional derivatives and integrals (26A33) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Homogenization for problems in thermodynamics and heat transfer (80M40)
Abstract: We study the effective reduction for a nonlocal stochastic partial differential equation with oscillating coefficients. The nonlocal operator in this stochastic partial differential equation is the generator of non-Gaussian L'{e}vy processes, with either extbf{integrable} or extbf{non-integrable} jump kernels. We examine the limiting behavior of this equation as a scaling parameter tends to zero, and derive a reduced (local or nonlocal) effective equation. In particular, this work leads to an effective reduction for a data assimilation system with L'{e}vy noise, by examining the corresponding nonlocal Zakai stochastic partial differential equation. We show that the probability density for the reduced data assimilation system approximates that for the original system.
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