On the stability and the uniform propagation of chaos of Extended Ensemble Kalman-Bucy filtersReportar como inadecuado




On the stability and the uniform propagation of chaos of Extended Ensemble Kalman-Bucy filters - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

1 CQFD - Quality control and dynamic reliability IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest 2 School of Mathematics and Statistics 3 Probabilités et statistiques IECL - Institut Élie Cartan de Lorraine 4 ICJ - Institut Camille Jordan Villeurbanne

Abstract : 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 can be interpreted as the conditional expectations of nonlinear McKean Vlasov type diffusions with respect to the observation process. In contrast with more conventional Langevin nonlinear drift type processes, the mean field interaction is encapsulated in the covariance matrix of the diffusion. The main results discussed in the article are quantitative estimates of the exponential stability properties of these nonlinear diffusions. These stability properties are used to derive uniform and non asymptotic estimates of the propagation of chaos properties of Extended Ensemble Kalman filters, including exponential concentration inequalities. To our knowledge these results seem to be the first results of this type for this class of nonlinear ensemble type Kalman-Bucy filters.

Keywords : stochastic Riccati matrix equation propagation of chaos properties Extended Kalman-Bucy filter Ensemble Kalman filters Monte Carlo methods mean field particle systems uniform estimates





Autor: Pierre Del Moral - Aline Kurtzmann - Julian Tugaut -

Fuente: https://hal.archives-ouvertes.fr/



DESCARGAR PDF




Documentos relacionados