Effective reduction for a nonlocal Zakai stochastic partial differential equation in data assimilation

Abstract: We study the effective reduction for a nonlocal stochastic partial differential equation with oscillating coefficients. The nonlocal operator in this stochastic partial differential equation is the generator of non-Gaussian L\'{e}vy processes, with either \textbf{integrable} or \textbf{non-integrable} jump kernels. We examine the limiting behavior of this equation as a scaling parameter tends to zero, and derive a reduced (local or nonlocal) effective equation. In particular, this work leads to an effective reduction for a data assimilation system with L\'{e}vy noise, by examining the corresponding nonlocal Zakai stochastic partial differential equation. We show that the probability density for the reduced data assimilation system approximates that for the original system.