A goal of data assimilation is to infer stochastic dynamical behaviors with available observations. We consider transition phenomena between metastable states for a stochastic system with (non-Gaussian) α;-stable Lévy noise. With either discrete time or continuous time observations, we infer such transitions between metastable states by computing the corresponding non-local Zakai equation (and its discrete time counterpart) and examining the most probable orbits for the state system. Examples are presented to demonstrate this approach.
|Original language||English (US)|
|Journal||Journal of Physics A: Mathematical and Theoretical|
|State||Published - Jun 10 2016|
Bibliographical noteFunding Information:
This work was partly supported by the NSF Grant 1025422.
© 2016 IOP Publishing Ltd.
- mean exit time with observation
- most probable orbits
- non-local Laplace operator
- non-local Zakai equation
- transitions between metastable states