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A Wong–Zakai approximation for random slow manifolds with application to parameter estimation

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We study a Wong-Zakai approximation for the random slow manifold of a slow-fast stochastic dynamical system. We first deduce the existence of the random slow manifold about an approximation system… Click to show full abstract

We study a Wong-Zakai approximation for the random slow manifold of a slow-fast stochastic dynamical system. We first deduce the existence of the random slow manifold about an approximation system driven by an integrated Ornstein-Uhlenbeck (O-U) process. Then we compute the slow manifold of the approximation system, in order to gain insights of the long time dynamics of the original stochastic system. By restricting this approximation system to its slow manifold, we thus get a reduced slow random system. This reduced slow random system is used to accurately estimate a system parameter of the original system. An example is presented to illustrate this approximation.

Keywords: system; zakai approximation; wong zakai; random slow; approximation

Journal Title: Nonlinear Dynamics
Year Published: 2019

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