Some Applications of Stochastic Partial Differential Equations in Nonlinear Filtering

Istvan Gyongy - University of Edimburgh
vendredi 19 juin 2015

A brief introduction to the stochastic filtering theory will be presented.
In particular, the stochastic partial differential equations arising in filtering theory will be considered. The innovation problem, the robustness of nonlinear filters, and their numerical calculations will be discussed.