On the stability of matrix-valued Riccati diffusions

DOI10.1214/19-EJP342zbMath1466.60114arXiv1808.00235OpenAlexW3105665475MaRDI QIDQ2274203

Pierre Del Moral, Adrian N. Bishop

Publication date: 19 September 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.00235

zbMATH Keywords

matrix Riccati equationsuniform fluctuation estimatesuniform stability estimatesensemble filtering methodsensemble Kalman-Bucy filtersmatrix quadratic stochastic differential equationsmatrix Riccati diffusion equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99) Stable stochastic processes (60G52)

Related Items (10)

Log-normalization constant estimation using the ensemble Kalman–Bucy filter with application to high-dimensional models ⋮ Multilevel Ensemble Kalman–Bucy Filters ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters ⋮ Analysis of the ensemble Kalman-Bucy filter for correlated observation noise ⋮ On the stability of positive semigroups ⋮ Mean field limit of ensemble square root filters -- discrete and continuous time ⋮ An explicit Floquet-type representation of Riccati aperiodic exponential semigroups ⋮ Backward Itô-Ventzell and stochastic interpolation formulae ⋮ Controlled interacting particle algorithms for simulation-based reinforcement learning

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