Derivation of Ensemble Kalman-Bucy Filters with unbounded nonlinear coefficients

Theresa Lange

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arXiv · 2012.07572

Derivation of Ensemble Kalman-Bucy Filters with unbounded nonlinear coefficients

Theresa Lange

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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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Theresa Lange. 2020-12-14. Derivation of Ensemble Kalman-Bucy Filters with unbounded nonlinear coefficients. https://arxiv.org/abs/2012.07572

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