Effective Filtering for Multiscale Stochastic Dynamical Systems in Hilbert Spaces
Probability
2019-10-21 v5
Abstract
In the paper, effective filtering for a type of slow-fast data assimilation systems in Hilbert spaces is considered. Firstly, the system is reduced to a system on a random invariant manifold. Secondly, nonlinear filtering of the origin system can be approximated by that of the reduction system. Finally, we apply the obtained result to an example.
Cite
@article{arxiv.1804.06204,
title = {Effective Filtering for Multiscale Stochastic Dynamical Systems in Hilbert Spaces},
author = {Huijie Qiao},
journal= {arXiv preprint arXiv:1804.06204},
year = {2019}
}
Comments
21 pages