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20162024
most citedLong-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise

49 citations · 89 across the 6 of their papers we have counts for

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math.OC2017

Kalman Filter and its Modern Extensions for the Continuous-time Nonlinear Filtering Problem

Amirhossein Taghvaei, Jana de Wiljes, Prashant G. Mehta +1

This paper is concerned with the filtering problem in continuous-time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter whi…