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In this article we consider the linear filtering problem in continuous-time.
A new approach to linear filtering and prediction problems
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X. T., Tong, A. J. Madja and Kelly, D. Nonlinear stability and ergodicity of ensemble based Kalman filters. Nonlinearity , 29, 657–691, 2016
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A. N. Bishop and P. Del Moral. On the stability of Kalman–Bucy diffusion processes. SIAM J. Control Optim
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P. Del Moral, A. Kurtzmann and J. Tugaut. On the stability and the uniform propagation of chaos of a class of extended ensemble Kalman–Bucy filter. SIAM J. Control Optim
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P. Del Moral and J. Tugaut. On the stability and the uniform propagation of chaos properties of ensemble Kalman–Bucy filters. The Annals of Applied Probability
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Kalman filter and Its modern extensions for the continuous-time nonlinear filtering problem
A. Taghvaei, J. de Wiljes, P. G. Mehta and S. Reich · 2018
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How to avoid the curse of dimensionality: scalability of particle filters with and without importance weights
S. C. Surace, A. Kutschireiter, and J.-P. Pfister · 2019
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J. de Wiljes and X. T. Tong · 2019
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A. N. Bishop and P. Del Moral · 2020
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A. Chernov, H. Hoel, K. J. H. Law, F. Nobile and R. Tempone · 2020
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K. Fossum, T. Mannseth and A. S. Stordal · 2020
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