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math.ST2026
Quantitative Wasserstein Propagation of Chaos for Transport Ensemble Filters
Frederic J. N. Jorgensen, Ricardo Baptista, Franca Hoffmann +1
We develop a general probabilistic framework for analyzing propagation of chaos in transport ensemble filters (TEFs), a broad class of interacting particle systems that are used to…
math.ST2026
Exact affine conditioning beyond Gaussians: a unique characterization of the ensemble Kalman update
Frederic J. N. Jorgensen, Youssef M. Marzouk
The analysis step of the ensemble Kalman filter, called the ensemble Kalman update (EnKU), is widely used for approximating posterior distributions in inverse problems and data ass…