On the continuous time limit of the ensemble Kalman filter

DOI10.1090/mcom/3588zbMath1458.60082arXiv1901.05204OpenAlexW2910711182MaRDI QIDQ5131002

Theresa Lange, Wilhelm Stannat

Publication date: 31 October 2020

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.05204

zbMATH Keywords

ensemble Kalman filtercontinuous time limit

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Limit theorems in probability theory (60F99)

Related Items (13)

Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis ⋮ Convergence acceleration of ensemble Kalman inversion in nonlinear settings ⋮ Multilevel Ensemble Kalman–Bucy Filters ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Data assimilation -- mathematical foundation and applications. Abstracts from the workshop held February 20--26, 2022 ⋮ Ensemble Kalman inversion: mean-field limit and convergence analysis ⋮ Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds ⋮ Mean field limit of ensemble square root filters -- discrete and continuous time ⋮ Analysis of the feedback particle filter with diffusion map based approximation of the gain ⋮ Derivation of ensemble Kalman–Bucy filters with unbounded nonlinear coefficients ⋮ Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models

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• Data Assimilation
• Analysis of the Ensemble Kalman Filter for Inverse Problems

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