Cover Image

Dynamical Low-Rank Approximations for Kalman Filtering

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Nobile, Fabio, Trindade, Thomas Trigo
Format:	Preprint
Published:	2025
Subjects:	Numerical Analysis 60G35, 60H35, 65C30, 65C35
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Dynamical Low-Rank Ensemble Kalman filter for State/Parameter estimation
by: Nobile, Fabio, et al.
Published: (2026)

Dynamical Low-Rank Approximation for Stochastic Differential Equations
by: Kazashi, Yoshihito, et al.
Published: (2023)

Numerical Methods for Dynamical Low-Rank Approximations of Stochastic Differential Equations -- Part I: Time discretization
by: Kazashi, Yoshihito, et al.
Published: (2026)

Error estimates for SUPG-stabilised Dynamical Low Rank Approximations
by: Nobile, Fabio, et al.
Published: (2024)

Petrov-Galerkin Dynamical Low Rank Approximation:SUPG stabilisation of advection-dominated problems
by: Nobile, Fabio, et al.
Published: (2024)

Stochastic numerical approximation for nonlinear Fokker-Planck equations with singular kernels
by: Cazacu, Nicoleta
Published: (2025)

Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
by: Leobacher, Gunther, et al.
Published: (2020)

Approximation and regularity results for the Heston model and related processes
by: Lombardo, Edoardo
Published: (2025)

Numerical approximation of SDEs driven by fractional Brownian motion for all $H\in(0,1)$ using WIS integration
by: Erdogan, Utku, et al.
Published: (2024)

A Randomized Milstein Scheme for SDEs with Superlinear Drift Coefficient
by: Biswas, Sani
Published: (2026)

Multi-index importance sampling for McKean--Vlasov stochastic differential equations
by: Rached, Nadhir Ben, et al.
Published: (2023)

Multilevel Importance Sampling for Rare Events Associated With the McKean--Vlasov Equation
by: Rached, Nadhir Ben, et al.
Published: (2022)

Approximation of the invariant measure for stochastic Allen-Cahn equation via an explicit fully discrete scheme
by: Wang, Yibo, et al.
Published: (2024)

On Surrogate Learning for Linear Stability Assessment of Navier-Stokes Equations with Stochastic Viscosity
by: Sousedík, Bedřich, et al.
Published: (2021)

An explicit splitting SAV scheme for the kinetic Langevin dynamics
by: Dai, Lei, et al.
Published: (2025)

Strong error analysis and first-order convergence of Milstein-type schemes for McKean-Vlasov SDEs with superlinear coefficients
by: Zhu, Jingtao, et al.
Published: (2025)

Preserving invariant domains and strong approximation of stochastic differential equations
by: Erdogan, Utku, et al.
Published: (2025)

Perturbation estimates for order-one strong approximations of SDEs without globally monotone coefficients
by: Dai, Lei, et al.
Published: (2023)

An unconditional boundary and dynamics preserving scheme for the stochastic epidemic model
by: Liu, Ruishu, et al.
Published: (2023)

Strong convergence rate of the explicit adaptive time-stepping methods for stochastic diffusion systems with locally Lipschitz coefficients
by: Wen, Xueqi, et al.
Published: (2026)

Higher order numerical methods for SDEs without globally monotone coefficients
by: Dai, Lei, et al.
Published: (2024)

Approximation of the Lévy-driven stochastic heat equation on the sphere
by: Lang, Annika, et al.
Published: (2025)

An Euler scheme for BSDEs via the Wiener chaos decomposition
by: Lozano, Pere Díaz, et al.
Published: (2025)

Explicit Runge-Kutta schemes for Backward Stochastic Differential Equations
by: Fang, Shuixin, et al.
Published: (2025)

Learning Stochastic Reduced Models from Data: A Nonintrusive Approach
by: Freitag, M. A., et al.
Published: (2024)

Sequential discretisation schemes for a class of stochastic differential equations and their application to Bayesian filtering
by: Akyildiz, Deniz, et al.
Published: (2022)

Full Discretization of Stochastic Semilinear Schrödinger equation driven by multiplicative Wiener noise
by: Bhar, Suprio, et al.
Published: (2025)

Numerical Approximation of Stochastic Volterra Integral Equation Using Walsh Function
by: Paikaray, Prit Pritam, et al.
Published: (2023)

High order approximations and simulation schemes for the log-Heston process
by: Alfonsi, Aurélien, et al.
Published: (2024)

Explicit modified Euler approximations of the Aït-Sahalia type model with Poisson jumps
by: Jiang, Yingsong, et al.
Published: (2025)

Uniform-in-time weak error estimates of explicit full-discretization schemes for SPDEs with non-globally Lipschitz coefficients
by: Jiang, Yingsong, et al.
Published: (2025)

Geometric Ergodicity and Strong Error Estimates for Tamed Schemes of Super-linear SODEs
by: Liu, Zhihui, et al.
Published: (2024)

Boundary-preserving Lamperti-splitting schemes for some Stochastic Differential Equations
by: Ulander, Johan
Published: (2023)

Strong convergence of an explicit full-discrete scheme for stochastic Burgers-Huxley equation
by: Wang, Yibo, et al.
Published: (2024)

An explicit scheme for stochastic Allen-Cahn equations with space-time white noise near the sharp interface limit
by: Jiang, Yingsong, et al.
Published: (2026)

Approximating the signature of Brownian motion for high order SDE simulation
by: Foster, James
Published: (2024)

Drift-Randomized Milstein-Galerkin Finite Element Method for Semilinear Stochastic Evolution Equations
by: Qi, Xiao, et al.
Published: (2026)

Projected Langevin Monte Carlo algorithms in non-convex and super-linear setting
by: Pang, Chenxu, et al.
Published: (2023)

Strong convergence rates for long-time approximations of SDEs with non-globally Lipschitz continuous coefficients
by: Wu, Xiaoming, et al.
Published: (2024)

On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
by: Mickel, Annalena, et al.
Published: (2023)