Effective filtering analysis for non-Gaussian dynamic systems

Abstract

This work is about a slow-fast data assimilation system under non-Gaussian noisy fluctuations. Firstly, we show the existence of a random invariant manifold for a stochastic dynamical system with non-Gaussian noise and two-time scales. Secondly, we obtain a low dimensional reduction of this system via a random invariant manifold. Thirdly, we prove that the low dimensional filter on the random invariant manifold approximates the original filter, in a probabilistic sense.