On one-dimensional Riccati diffusions

DOI10.1214/18-AAP1431zbMath1466.60115arXiv1711.10065MaRDI QIDQ1737966

Bruno Rémillard, Kengo Kamatani, Adrian N. Bishop, Pierre Del Moral

Publication date: 24 April 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.10065

zbMATH Keywords

ensemble Kalman filters; quadratic stochastic differential equations; Riccati diffusions; uniform fluctuation estimates; uniform stability estimates

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G99: Stochastic processes

60G52: Stable stochastic processes

Related Items

Stability Properties of Systems of Linear Stochastic Differential Equations with Random Coefficients, On the continuous time limit of the ensemble Kalman filter, A perturbation analysis of stochastic matrix Riccati diffusions, On the stability of matrix-valued Riccati diffusions

Uses Software

• EnKF

Cites Work

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