Effective filtering analysis for non-Gaussian dynamic systems
Probability
2018-11-12 v2
Abstract
This work is about a slow-fast data assimilation system under non-Gaussian noisy fluctuations. Firstly, we show the existence of a random invariant manifold for a stochastic dynamical system with non-Gaussian noise and two-time scales. Secondly, we obtain a low dimensional reduction of this system via a random invariant manifold. Thirdly, we prove that the low dimensional filter on the random invariant manifold approximates the original filter, in a probabilistic sense.
Cite
@article{arxiv.1803.07380,
title = {Effective filtering analysis for non-Gaussian dynamic systems},
author = {Yanjie Zhang and Huijie Qiao and Jinqiao Duan},
journal= {arXiv preprint arXiv:1803.07380},
year = {2018}
}
Comments
29 pages