Derivation of ensemble Kalman–Bucy filters with unbounded nonlinear coefficients
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Publication:5019966
DOI10.1088/1361-6544/ac4337zbMath1490.60093arXiv2012.07572OpenAlexW4226147316MaRDI QIDQ5019966
Publication date: 11 January 2022
Published in: Nonlinearity (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.07572
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)
Related Items (7)
Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters ⋮ Analysis of the ensemble Kalman-Bucy filter for correlated observation noise ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Data assimilation -- mathematical foundation and applications. Abstracts from the workshop held February 20--26, 2022 ⋮ Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models
Cites Work
- On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
- A discrete stochastic Gronwall lemma
- Nonlinear stability and ergodicity of ensemble based Kalman filters
- A STOCHASTIC GRONWALL LEMMA
- Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
- On the Stability and the Uniform Propagation of Chaos of a Class of Extended Ensemble Kalman--Bucy Filters
- Long-Time Stability and Accuracy of the Ensemble Kalman--Bucy Filter for Fully Observed Processes and Small Measurement Noise
- On the continuous time limit of the ensemble Kalman filter
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