Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients

Lange T (2022)
Nonlinearity 35(2): 1061-1092.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
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 discretisation step size. Simultaneously, we establish well-posedness as well as accuracy of both the continuous-time and the discrete-time filtering algorithms.
Stichworte
continuous time limit; ensemble Kalman Bucy filter; ensemble Kalman; filter; ensemble square root filters
Erscheinungsjahr
2022
Zeitschriftentitel
Nonlinearity
Band
35
Ausgabe
2
Seite(n)
1061-1092
ISSN
0951-7715
eISSN
1361-6544
Page URI
https://pub.uni-bielefeld.de/record/2960717

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Lange T. Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients. Nonlinearity . 2022;35(2):1061-1092.
Lange, T. (2022). Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients. Nonlinearity , 35(2), 1061-1092. https://doi.org/10.1088/1361-6544/ac4337
Lange, T. (2022). Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients. Nonlinearity 35, 1061-1092.
Lange, T., 2022. Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients. Nonlinearity , 35(2), p 1061-1092.
T. Lange, “Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients”, Nonlinearity , vol. 35, 2022, pp. 1061-1092.
Lange, T.: Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients. Nonlinearity . 35, 1061-1092 (2022).
Lange, Theresa. “Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients”. Nonlinearity 35.2 (2022): 1061-1092.

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