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

DOI10.1137/17M1119056zbMath1391.93265arXiv1612.06065MaRDI QIDQ3176261

Jana de Wiljes, Wilhelm Stannat, Sebastian Reich

Publication date: 19 July 2018

Published in: SIAM Journal on Applied Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.06065

zbMATH Keywords

stabilityasymptotic behavioraccuracydata assimilationensemble Kalman filterKalman-Bucy filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05)

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Uses Software

• EnKF

Cites Work

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