A perturbation analysis of stochastic matrix Riccati diffusions
type: Item
instance of: scholarly article
title: A perturbation analysis of stochastic matrix Riccati diffusions
zbMATH Open document ID: 1434.60020
DOI: 10.1214/19-AIHP987
author: Adrian N. Bishop
author: Pierre Del Moral
author: Angèle Niclas
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 2020-05-13T00:00:00Z
full work available at URL: https://arxiv.org/abs/1709.05071
full work available at URL: https://projecteuclid.org/euclid.aihp/1584345623
Mathematics Subject Classification ID: 60B20
Mathematics Subject Classification ID: 15B52
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 60G35
zbMATH DE Number: 7199883
zbMATH Keywords: Riccati matrix differential equation
zbMATH Keywords: covariance matrices
zbMATH Keywords: filtering
zbMATH Keywords: ensemble Kalman filters
zbMATH Keywords: interacting particle systems
zbMATH Keywords: perturbation theory
describes a project that uses: EnKF
describes a project that uses: mftoolbox
MaRDI profile type: Publication
arXiv ID: 1709.05071
cites work: Exact and high-order discretization schemes for Wishart processes and their affine extensions
cites work: Q5310048
cites work: Q5420974
cites work: On the Stability of Kalman--Bucy Diffusion Processes
cites work: Stability Properties of Systems of Linear Stochastic Differential Equations with Random Coefficients
cites work: An explicit Floquet-type representation of Riccati aperiodic exponential semigroups
cites work: On one-dimensional Riccati diffusions
cites work: An Introduction to Wishart Matrix Moments
cites work: Perturbations and projections of Kalman-Bucy semigroups
cites work: Linear Quadratic Optimal Stochastic Control with Random Coefficients
cites work: Asymptotically distribution‐free methods for the analysis of covariance structures
cites work: Diffusions of perturbed principal component analysis
cites work: Wishart processes
cites work: Affine processes on positive semidefinite matrices
cites work: Long-Time Stability and Accuracy of the Ensemble Kalman--Bucy Filter for Fully Observed Processes and Small Measurement Noise
cites work: Mean field simulation for Monte Carlo integration
cites work: On the Stability and the Uniform Propagation of Chaos of a Class of Extended Ensemble Kalman--Bucy Filters
cites work: A Taylor expansion of the square root matrix function
cites work: Stochastic processes. From applications to theory
cites work: On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
cites work: Q5822308
cites work: The Wishart autoregressive process of multivariate stochastic volatility
cites work: The Moments of Wishart Processes via Itô Calculus
cites work: Q3961697
cites work: Functions of Matrices
cites work: Indefinite Stochastic Riccati Equations
cites work: Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
cites work: Q4039796
cites work: Noncolliding Brownian motions and Harish-Chandra formula
cites work: Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
cites work: Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
cites work: Q3206104
cites work: Multidimensional Backward Stochastic Riccati Equations and Applications
cites work: Deterministic mean-field ensemble Kalman filtering
cites work: Q3015759
cites work: Performance of Ensemble Kalman Filters in Large Dimensions
cites work: On the convergence of the ensemble Kalman filter.
cites work: On strong solutions for positive definite jump diffusions
cites work: A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
cites work: Q4895007
cites work: Ensemble filter techniques for intermittent data assimilation - a survey
cites work: Q3358031
cites work: An Optimal Transport Formulation of the Ensemble Kalman Filter
cites work: Nonlinear stability and ergodicity of ensemble based Kalman filters
cites work: Nonlinear stability of the ensemble Kalman filter with adaptive covariance inflation
cites work: An inequality for trace ideals
cites work: The ubiquitous Kronecker product
OpenAlex ID: W3011227916
description: scientific article