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

[ICTP Math Section]

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.



https://indico.ictp.it/event/10306/