On the Stability of Kalman--Bucy Diffusion Processes
نویسندگان
چکیده
منابع مشابه
On the stability and the uniform propagation of chaos properties of Ensemble Kalman-Bucy filters
The Ensemble Kalman filter is a sophisticated and powerful data assimilation method for filtering high dimensional problems arising in fluid mechanics and geophysical sciences. This Monte Carlo method can be interpreted as a mean-field McKean-Vlasov type particle interpretation of the Kalman-Bucy diffusions. In contrast to more conventional particle filters and nonlinear Markov processes these ...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2017
ISSN: 0363-0129,1095-7138
DOI: 10.1137/16m1102707