1 citations · 3 across the 7 of their papers we have counts for
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math.NA2020★ 1 cited
Multilevel Ensemble Kalman-Bucy Filters
Neil K. Chada, Ajay Jasra, Fangyuan Yu
In this article we consider the linear filtering problem in continuous-time. We develop and apply multilevel Monte Carlo (MLMC) strategies for ensemble Kalman-Bucy filters (EnKBFs)…
math.NA2020★ 1 cited
Unbiased Filtering of a Class of Partially Observed Diffusions
Ajay Jasra, Kody Law, Fangyuan Yu
In this article we consider a Monte Carlo-based method to filter partially observed diffusions observed at regular and discrete times. Given access only to Euler discretizations of…