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Cited article:

Diffusion Map-based Algorithm for Gain Function Approximation in the Feedback Particle Filter

Amirhossein Taghvaei, Prashant G. Mehta and Sean P. Meyn
SIAM/ASA Journal on Uncertainty Quantification 8 (3) 1090 (2020)

Kalman Filter and Its Modern Extensions for the Continuous-Time Nonlinear Filtering Problem

Amirhossein Taghvaei, Jana de Wiljes, Prashant G. Mehta and Sebastian Reich
Journal of Dynamic Systems, Measurement, and Control 140 (3) (2018)