On one-dimensional Riccati diffusions
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Publication:1737966
DOI10.1214/18-AAP1431zbMath1466.60115arXiv1711.10065WikidataQ128539026 ScholiaQ128539026MaRDI QIDQ1737966
Bruno Rémillard, Kengo Kamatani, Adrian N. Bishop, Pierre Del Moral
Publication date: 24 April 2019
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.10065
ensemble Kalman filtersquadratic stochastic differential equationsRiccati diffusionsuniform fluctuation estimatesuniform stability estimates
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99) Stable stochastic processes (60G52)
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Cites Work
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