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

Article, Preprint English OPEN
de Wiljes, Jana; Reich, Sebastian; Stannat, Wilhelm;
  • Publisher: Society for Industrial and Applied Mathematics
  • Related identifiers: doi: 10.1137/17M1119056
  • Subject: 65C05, 62M20, 93E11, 62F15, 86A22 | Mathematics - Dynamical Systems

The ensemble Kalman filter has become a popular data assimilation technique in the geosciences. However, little is known theoretically about its long term stability and accuracy. In this paper, we investigate the behavior of an ensemble Kalman--Bucy filter applied to co... View more
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