2021 •
Derivation of ensemble Kalman–Bucy filters with unbounded nonlinear coefficients
Authors: Lange, Theresa
Venue: Nonlinearity
Type: Publication
Abstract: We provide a rigorous derivation of the Ensemble Kalman-Bucy Filter as well as the Ensemble Transform Kalman-Bucy Filter in case of nonlinear, unbounded model and observation operators. We identify them as the continuous time limit of the discrete-time Ensemble Kalman Filter and the Ensemble Square Root Filters, respectively, together with concrete convergence rates in terms of the discretization step size. Simultaneously, we establish well-posedness as well as accuracy of both the continuous-time and the discrete-time filtering algorithms.
Popularity: This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the
underlying citation network.
Influence: This indicator reflects the overall/total impact of an article in the research community at large, based on the
underlying citation network (diachronically).
Citation Count: This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in
the research community at large, based on the underlying citation network (diachronically).
Impulse: This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation
network.
We have placed cookies on your device to help make this website and the services we offer better. By using this site, you agree to the use of cookies. Learn more