Journal
JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL
Volume 49, Issue 29, Pages -Publisher
IOP PUBLISHING LTD
DOI: 10.1088/1751-8113/49/29/294002
Keywords
non-local Zakai equation; non-local Laplace operator; transitions between metastable states; most probable orbits; mean exit time with observation
Categories
Funding
- NSF [1025422]
- Division Of Mathematical Sciences
- Direct For Mathematical & Physical Scien [1025422] Funding Source: National Science Foundation
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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) alpha-stable Levy 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.
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