Mean field limit of ensemble square root filters -- discrete and continuous time

DOI10.3934/fods.2021003zbMath1481.93132arXiv2011.10516OpenAlexW3125614246MaRDI QIDQ2072657

Theresa Lange, Wilhelm Stannat

Publication date: 26 January 2022

Published in: Foundations of Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.10516

zbMATH Keywords

Fokker-Planck equationpropagation of chaosstochastic filteringmean field limitensemble square root filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Fokker-Planck equations (35Q84)

Related Items (6)

Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Sharp convex generalizations of stochastic Gronwall inequalities ⋮ Analysis of the ensemble Kalman-Bucy filter for correlated observation noise ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models

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• Long-Time Stability and Accuracy of the Ensemble Kalman--Bucy Filter for Fully Observed Processes and Small Measurement Noise
• Convergence of the Square Root Ensemble Kalman Filter in the Large Ensemble Limit
• On the continuous time limit of the ensemble Kalman filter

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