Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients
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Abstract: We provide a rigorous derivation of the Ensemble Kalman-Bucy Filter as well as the Ensemble Transform Kalman-Bucy Filter in case of nonlinear, unbounded model and observation operators. We identify them as the continuous time limit of the discrete-time Ensemble Kalman Filter and the Ensemble Square Root Filters, respectively, together with concrete convergence rates in terms of the discretization step size. Simultaneously, we establish well-posedness as well as accuracy of both the continuous-time and the discrete-time filtering algorithms.
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Cites work
- A discrete stochastic Gronwall lemma
- A stochastic Gronwall lemma
- Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
- Nonlinear stability and ergodicity of ensemble based Kalman filters
- On the continuous time limit of the ensemble Kalman filter
- On the stability and the uniform propagation of chaos of a class of extended ensemble Kalman-Bucy filters
- On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
- Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
Cited in
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- Mean field limit of ensemble square root filters -- discrete and continuous time
- Data assimilation -- mathematical foundation and applications. Abstracts from the workshop held February 20--26, 2022
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- Log-normalization constant estimation using the ensemble Kalman–Bucy filter with application to high-dimensional models
- Multilevel ensemble Kalman-Bucy filters
- Analysis of a localised nonlinear ensemble Kalman Bucy filter with complete and accurate observations
- Continuous formulations of the ensemble Kalman filter
- Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models
- Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis
- 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
- Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
- Global existence and non-uniqueness for the Cauchy problem associated to 3D Navier-Stokes equations perturbed by transport noise
- Accuracy improvement in ensemble Kalman inversion through data-informed ensemble selection
- On the mean field theory of ensemble Kalman filters for SPDEs
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