On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering

DOI10.1007/s00498-023-00357-2zbMath1526.93257arXiv2006.08843OpenAlexW3035067527MaRDI QIDQ6050120

Publication date: 12 October 2023

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.08843

zbMATH Keywords

stability particle filters data assimilation filter convergence ensemble Kalman filtering Riccati diffusions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Related Items

Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering

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