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SUMMARY:On the Stability and the Uniform Propagation of Chaos Properties o
 f Ensemble Kalman-Bucy Filters  - Prof Pierre Del Moral\, INRIA
DTSTART:20200116T150000Z
DTEND:20200116T160000Z
UID:TALK137479@talks.cam.ac.uk
CONTACT:Prof. Ramji Venkataramanan
DESCRIPTION:The Ensemble Kalman filter is a sophisticated and powerful dat
 a assimilation method for filtering high dimensional problems arising in f
 luid mechanics and geophysical sci- ences. This Monte Carlo method can be 
 interpreted as a mean-field McKean-Vlasov type particle interpretation of 
 the Kalman-Bucy diffusions. Besides some recent advances on the stability 
 of nonlinear Langevin type diffusions with drift interactions\, the long-t
 ime behaviour of models with interacting diffusion matrices and conditiona
 l distribution interaction functions has never been discussed in the liter
 ature. One of the main contributions of the talk is to initiate the study 
 of this new class of models. The talk presents a series of new functional 
 inequalities to quantify the stability of these nonlinear diffusion proces
 ses. The second contribution of this talk is to provide uniform propagatio
 n of chaos properties as well as Lp-mean error estimates w.r.t. the time h
 orizon. 
LOCATION:JDB Seminar Room\, CUED
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