[Todos CMAT] CIMPA-ICTP Math Courses 2023 - From Monday 15 May to Thursday 18 May at 10:00 (Fernando)/hybrid seminar

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RECIBO Y REENVÍO. RM

CIMPA/ICTP MATH COURSES  2023
Hybrid Course on:

Introduction to Nonlinear Filtering Theory toward Particle Filtering

This is a recurring zoom meeting, therefore please register just once  
for all 4 sessions:
https://zoom.us/meeting/register/tJcldOuppjIpGNNliClqvaXYFEJG7p2397Q1

Timetable
Monday, 15 May, 10:00-12:00
Tuesday, 16 May, 10:00-12:00
Wednesday, 17 May, 10:00-12:00
Thursday, 18 May, 10:00-12:00

Venue (for in-person participants): Stasi Lecture Hall (Leonardo da  
Vinci Building, first floor)

Speaker: Bandhisattambige Pani Wishvamithra FERNANDO (University of  
Sri Jayewardenepura)

Title: Introduction to Nonlinear Filtering Theory toward Particle Filtering

Abstract: Nonlinear filtering is one of the main approaches to tackle  
many problems involving with fields such as financial mathematics,  
engineering sciences, fluid dynamics, physics, etc. Unfortunately, it  
is impossible to obtain analytical solutions for most of the  
stochastic nonlinear filtering models associated with the practical  
problems arising in the abovementioned fields, excepting a small  
number of simple cases. Particle filtering plays an important role to  
solve such stochastic nonlinear filtering models numerically.
In this short course, we are going to provide an introductory  
knowledge on nonlinear filtering theory and associated particle  
filtering approach. First, we will define the nonlinear filtering  
problem and then, step by step, we will discuss the necessary tools  
(such as conditional expectation, Bayes formula, normalized and  
unnormalized conditional measures, Novikov’s condition, Girsanov  
transformation, Kallianpur-Striebel formula, etc.) to derive the  
measure-valued filtering equations known as Zakai equation and FKK  
equation. Then we will discuss a couple of particle filtering  
algorithms such as Monte-Carlo method, branching particle method, etc.


Please note: The CIMPA/ICTP Courses will be recorded and broadcasted.


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