Session A6 - Mathematical Foundations of Data Assimilation and Inverse Problems
July 12, 15:30 ~ 16:00 - Room T1
Continuous time filtering algorithms
University of Potdam and University of Reading, Germany - firstname.lastname@example.org
I will review recent work on interacting particle representations of the continuous time filtering problem. The starting point is provided by the feedback particle filter and its particle approximations. The ensemble Kalman-Bucy filter emerges as a special and I will summarize results on its accuracy and stability. I will conclude with some open problems.
Joint work with Jana de Wiljes (University of Potsdam), Wilhelm Stannat (TU Berlin), Prashant Mehta (University of Illinois at Urbana-Champaign) and Amirhossein Taghvaei (University of Illinois at Urbana-Champaign).