AN ENSEMBLE KALMAN-BUCY FILTER FOR CONTINUOUS DATA ASSIMILATION

An ensemble Kalman-Bucy filter for continuous data assimilation

The ensemble Kalman filter has emerged as LIQUID B COMPLEX a promising filter algorithm for nonlinear differential equations subject to intermittent observations.In this paper, we extend the well-known Kalman-Bucy filter for linear differential equations subject to continous observations to the ensemble setting and nonlinear differential equations.

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