78 citations · 667 across the 41 of their papers we have counts for
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math.PR2020★ 19 cited
Analytic theory of Itô-stochastic differential equations with non-smooth coefficients
Haesung Lee, Wilhelm Stannat, Gerald Trutnau
We present a detailed analysis of non-degenerate time-homogeneous Itô-stochastic differential equations with low local regularity assumptions on the coefficients. In particular the…
math.PR2020★ 14 cited
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…