Effective Filtering for Multiscale Stochastic Dynamical Systems in Hilbert Spaces

Huijie Qiao

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arXiv · 1804.06204

Effective Filtering for Multiscale Stochastic Dynamical Systems in Hilbert Spaces

Huijie Qiao

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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.

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Huijie Qiao. 2018-04-17. Effective Filtering for Multiscale Stochastic Dynamical Systems in Hilbert Spaces. https://arxiv.org/abs/1804.06204

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