Dynamical Inference for Transitions in Stochastic Systems with $α-$stable Lévy Noise

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 by computing the corresponding nonlocal 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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