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Derivation of Ensemble Kalman-Bucy Filters with unbounded nonlinear coefficients
Theresa Lange · 2020-12-14 · via math.PR updates on arXiv.org

We provide a rigorous derivation of the Ensemble Kalman-Bucy Filter as well as the Ensemble Transform Kalman-Bucy Filter in case of nonlinear, unbounded model and observation operators. We identify them as the continuous time limit of the discrete-time Ensemble Kalman Filter and the Ensemble Square Root Filters, respectively, together with concrete convergence rates in terms of the discretization step size. Simultaneously, we establish well-posedness as well as accuracy of both the continuous-time and the discrete-time filtering algorithms.

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