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
matrix Riccati equationsuniform fluctuation estimatesuniform stability estimatesensemble filtering methodsensemble Kalman-Bucy filtersmatrix quadratic stochastic differential equationsmatrix Riccati diffusion equations
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99) Stable stochastic processes (60G52)
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