Numerical strategies for filtering partially observed stiff stochastic differential equations
DOI10.1016/J.JCP.2010.10.016zbMath1206.65022OpenAlexW2153701667WikidataQ57436936 ScholiaQ57436936MaRDI QIDQ617480
Publication date: 21 January 2011
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jcp.2010.10.016
algorithmnumerical examplesinverse problemsdata assimilationheterogeneous multiscale methodsfiltering multiscale systemsstiff SDE
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical methods for initial value problems involving ordinary differential equations (65L05) Linear first-order PDEs (35F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The heterogeneous multiscale methods
- Mathematical strategies for filtering complex systems: Regularly spaced sparse observations
- A nonlinear test model for filtering slow-fast systems
- Filtering a nonlinear slow-fast system with strong fast forcing
- Test models for improving filtering with model errors through stochastic parameter estimation
- Improving filtering and prediction of spatially extended turbulent systems with model errors through stochastic parameter estimation
- Semigroups of conditioned shifts and approximation of Markov processes
- Some probabilistic problems and methods in singular perturbations
- Analytical and simulation results for stochastic Fitzhugh-Nagumo neurons and neural networks
- Parameter estimation for multiscale diffusions
- Adaptive modeling, adaptive data assimilation and adaptive sampling
- Mathematical test criteria for filtering complex systems: Plentiful observations
- Numerical techniques for multi-scale dynamical systems with stochastic effects
- Antireliability of noise-driven neurons
- Mathematical test models for superparametrization in anisotropic turbulence
- Explicit off-line criteria for stable accurate time filtering of strongly unstable spatially extended systems
- Stable time filtering of strongly unstable spatially extended systems
- Hessian-based model reduction for large-scale systems with initial-condition inputs
- Intermittency, metastability and coarse graining for coupled deterministic–stochastic lattice systems
- Inverse Problems and Torricelli's Law
This page was built for publication: Numerical strategies for filtering partially observed stiff stochastic differential equations
