Data assimilation for a multiscale stochastic dynamical system with Gaussian noise

DOI10.1142/S0219493719500199zbMath1433.60045OpenAlexW2885293811MaRDI QIDQ5384784

Yanjie Zhang, Jian Ren

Publication date: 25 June 2019

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493719500199

zbMATH Keywords

dimensional reductionnonlinear filteringaveraging principleZakai equationmulti-scale systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

Approximation of the Filter Equation for Multiple Timescale, Correlated, Nonlinear Systems ⋮ Effective reduction for a nonlocal Zakai stochastic partial differential equation in data assimilation ⋮ Effective filtering for slow-fast systems via Wong-Zakai approximation

Uses Software

• EnKF

Cites Work

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• Data Assimilation
• Multiscale Methods
• On Transition Densities of Singularly Perturbed Diffusions with Fast and Slow Components
• Data Assimilation