A Martingale-Free Introduction to Conditional Gaussian Nonlinear Systems

A Martingale-Free Introduction to Conditional Gaussian Nonlinear Systems

The conditional Gaussian nonlinear system (CGNS) is a broad class of nonlinear stochastic dynamical systems. Given the trajectories for a subset of state variables, the remaining follow a Gaussian distribution. Despite the conditionally linear structure, the CGNS exhibits strong nonlinearity, thus c...

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Bibliographic Details
Main Authors: Marios Andreou, Nan Chen
Format: Article
Language:English
Published: MDPI AG 2024-12-01
Series:Entropy
Subjects:
conditional Gaussian systems
nonlinear stochastic dynamical systems
Euler–Maruyama scheme
data assimilation
uncertainty quantification
optimal posterior state estimation
Online Access:https://www.mdpi.com/1099-4300/27/1/2
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