On one-dimensional Riccati diffusions (Q1737966)

scientific article

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English	On one-dimensional Riccati diffusions	scientific article

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instance of

scholarly article

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title

On one-dimensional Riccati diffusions (English)

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The Annals of Applied Probability

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publication date

24 April 2019

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full work available at URL

https://arxiv.org/abs/1711.10065

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https://projecteuclid.org/euclid.aoap/1548298938

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zbMATH Keywords

ensemble Kalman filters

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quadratic stochastic differential equations

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Riccati diffusions

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uniform fluctuation estimates

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uniform stability estimates

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describes a project that uses

EnKF

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MaRDI profile type

MaRDI publication profile

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Sobolev inequalities for probability measures on the real line

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Exact simulation of diffusions

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On the Stability of Kalman--Bucy Diffusion Processes

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An explicit Floquet-type representation of Riccati aperiodic exponential semigroups

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On the robustness of Riccati flows to complete model misspecification

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A perturbation analysis of stochastic matrix Riccati diffusions

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An Introduction to Wishart Matrix Moments

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Perturbations and projections of Kalman-Bucy semigroups

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Linear Quadratic Optimal Stochastic Control with Random Coefficients

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Functional inequalities for heavy tailed distributions and application to isoperimetry

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Eigenvalues, Inequalities, and Ergodic Theory

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Exponential convergence in the Wasserstein metric \(W_1\) for one dimensional diffusions

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A Theory of the Term Structure of Interest Rates

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Invariance principles in probability for triangular arrays of B-valued random vectors and some applications

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Long-Time Stability and Accuracy of the Ensemble Kalman--Bucy Filter for Fully Observed Processes and Small Measurement Noise

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Mean Field Simulation for Monte Carlo Integration

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On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters

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Q3996911

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Q4127104

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Q3995021

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The ensemble Kalman filter for combined state and parameter estimation

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Diffusion Processes in One Dimension

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The general diffusion operator and positivity preserving semigroups in one dimension

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Modified logarithmic Sobolev inequalities and transportation inequalities

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Transport-entropy inequalities on the line

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Indefinite Stochastic Riccati Equations

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On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Ensemble Kalman methods for inverse problems

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Duality theorems for marginal problems

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Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time

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Multidimensional Backward Stochastic Riccati Equations and Applications

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Data Assimilation

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Deterministic Mean-Field Ensemble Kalman Filtering

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Q3015759

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Performance of Ensemble Kalman Filters in Large Dimensions

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On the convergence of the ensemble Kalman filter.

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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

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A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

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Q4895007

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Hardy's inequality with weights

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Probabilistic Forecasting and Bayesian Data Assimilation

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Ensemble filter techniques for intermittent data assimilation - a survey

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Analysis of the Ensemble Kalman Filter for Inverse Problems

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Convergence analysis of ensemble Kalman inversion: the linear, noisy case

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Kalman Filtering With Intermittent Observations

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Q3358031

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An Optimal Transport Formulation of the Ensemble Kalman Filter

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Nonlinear stability and ergodicity of ensemble based Kalman filters

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Nonlinear stability of the ensemble Kalman filter with adaptive covariance inflation

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Q4805362

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Optimal Transport

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Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems.

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Multivariable feedback particle filter

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Identifiers

zbMATH Open document ID

1466.60115

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DOI

10.1214/18-AAP1431

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1737966