Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering

DOI10.1214/23-aap1957arXiv2107.06621MaRDI QIDQ6180390

Nikolas Nüsken, Michele Coghi, Sebastian Reich, Torstein Nilssen

Publication date: 19 January 2024

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

Full work available at URL: https://arxiv.org/abs/2107.06621

zbMATH Keywords

Kalman filterrough pathsMcKean-Vlasov equations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Rough paths (60L20) Applications of rough analysis (60L90)

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