On one-dimensional Riccati diffusions
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Publication:1737966
DOI10.1214/18-AAP1431zbMath1466.60115arXiv1711.10065MaRDI QIDQ1737966
Pierre Del Moral, Bruno Rémillard, Kengo Kamatani, Adrian N. Bishop
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
ensemble Kalman filters; quadratic stochastic differential equations; Riccati diffusions; uniform fluctuation estimates; uniform stability estimates
93E11: Filtering in stochastic control theory
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G99: Stochastic processes
60G52: Stable stochastic processes
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