Mean field limit of ensemble square root filters -- discrete and continuous time
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Publication:2072657
DOI10.3934/fods.2021003zbMath1481.93132arXiv2011.10516MaRDI QIDQ2072657
Wilhelm Stannat, Theresa Lange
Publication date: 26 January 2022
Published in: Foundations of Data Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.10516
Fokker-Planck equation; propagation of chaos; stochastic filtering; mean field limit; ensemble square root filter
93E11: Filtering in stochastic control theory
93C55: Discrete-time control/observation systems
35Q84: Fokker-Planck equations