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math.PR2023
On the mean field theory of Ensemble Kalman filters for SPDEs
Sebastian Ertel
This paper is concerned with the mathematical analysis of continuous time Ensemble Kalman Filters (EnKBFs) and their mean field limit in an infinite dimensional setting. The signal…
math.PR2022★ 3 cited
Analysis of the Ensemble Kalman--Bucy Filter for correlated observation noise
Sebastian Ertel, Wilhelm Stannat
Ensemble Kalman--Bucy filters (EnKBFs) are an important tool in Data Assimilation that aim to approximate the posterior distribution for continuous time filtering problems using an…