On the stability and the uniform propagation of chaos of Extended Ensemble Kalman-Bucy filters
Langue
en
Article de revue
Ce document a été publié dans
SIAM Journal on Control and Optimization. 2017, vol. 55, n° 1, p. 119-155
Society for Industrial and Applied Mathematics
Résumé en anglais
This article is concerned with the exponential stability and the uniform propagation of chaos properties of a class of Extended Ensemble Kalman-Bucy filters with respect to the time horizon. This class of nonlinear filters ...Lire la suite >
Mots clés en anglais
propagation of chaos properties
Ensemble Kalman filters
Extended Kalman-Bucy filter
mean field particle systems
stochastic Riccati matrix equation
uniform estimates
Monte Carlo methods