Mean field limit of Ensemble Square Root Filters -- discrete and continuous time

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Bishop, Adrian N., Del Moral, Pierre, Kamatani, Kengo, Remillard, Bruno, On one-dimensional Riccati diffusions. Annals of Applied Probability, Vol. 29, No. 2, 1127–1187, 2019

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Lange, Theresa, Stannat, Wilhelm, On the continuous time limit of the Ensemble Square Root Filters. arXiv:1910.12493v1, 2019