Analysis of the ensemble Kalman-Bucy filter for correlated observation noise
DOI10.1214/23-aap1985arXiv2205.14253OpenAlexW4391483222MaRDI QIDQ6126796
Wilhelm Stannat, Sebastian W. Ertel
Publication date: 10 April 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.14253
well-posednesscorrelated noisepropagation of chaosKalman gainlocal LipschitzMcKean-Vlasovensemble Kalman-Bucy filterconstant gain approximationmean-field representation
Filtering in stochastic control theory (93E11) Probabilistic models, generic numerical methods in probability and statistics (65C20) Signal detection and filtering (aspects of stochastic processes) (60G35)
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