Filtering of SPDEs -- The Ensemble Kalman Filter and related methods
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Abstract: This paper is concerned with the derivation and mathematical analysis of continuous time Ensemble Kalman Filters (EnKBFs) and related data assimilation methods for Stochastic Partial Differential Equations (SPDEs) with finite dimensional observations. The signal SPDE is allowed to be nonlinear and is posed in the standard abstract variational setting. Its coefficients are assumed to satisfy global one-sided Lipschitz conditions. We first review classical filtering algorithms in this setting, namely the Kushner--Stratonovich and the Kalman--Bucy filter, proving a law of total variance. Then we consider mean-field filtering equations, deriving both a Feedback Particle Filter and a mean-field EnKBF for nonlinear signal SPDEs. The second part of the paper is devoted to the elementary mathematical analysis of the EnKBF in this infinite dimensional setting, showing the well posedness of both the mean-field EnKBF and its interacting particle approximation. Finally we prove the convergence of the particle approximation. Under the additional assumption that the observation function is bounded, we even recover explicit and (nearly) optimal rates.
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