14 citations · 14 across the 2 of their papers we have counts for
9 papers
Peng's Maximum Principle for Stochastic Partial Differential Equations
Wilhelm Stannat, Lukas Wessels
We extend Peng's maximum principle for semilinear stochastic partial differential equations (SPDEs) in one space-dimension with non-convex control domains and control-dependent dif…
Mean field limit of Ensemble Square Root Filters -- discrete and continuous time
Theresa Lange, Wilhelm Stannat
Consider the class of Ensemble Square Root filtering algorithms for the numerical approximation of the posterior distribution of nonlinear Markovian signals partially observed with…
Drift Estimation for Stochastic Reaction-Diffusion Systems
Gregor Pasemann, Wilhelm Stannat
A parameter estimation problem for a class of semilinear stochastic evolution equations is considered. Conditions for consistency and asymptotic normality are given in terms of gro…
On the continuous time limit of the Ensemble Kalman Filter
Theresa Lange, Wilhelm Stannat
We present recent results on the existence of a continuous time limit for Ensemble Kalman Filter algorithms. In the setting of continuous signal and observation processes, we apply…
Weak Solutions to Vlasov-McKean Equations under Lyapunov-Type Conditions
Sima Mehri, Wilhelm Stannat
We present a Lyapunov type approach to the problem of existence and uniqueness of general law-dependent stochastic differential equations. In the existing literature most results c…
Existence, uniqueness and stability of semi-linear rough partial differential equations
Peter Friz, Torstein Nilssen, Wilhelm Stannat
We prove well-posedness and rough path stability of a class of linear and semi-linear rough PDE's on using the variational approach. This includes well-posedness of…