Participez au cours en ligne CIMPA-ICTP de Pani W. Fernando!

Rejoignez le cours de Pani W. Fernando "Introduction to Nonlinear Filtering Theory toward Particle Filtering" du 15 au 18 Mai.  

Pani W. Fernando est maître de conférences à l'université de Sri Jayewardenepura, au Sri Lanka.

Le cours sera donné en anglais sur zoom.

Il s'agit d'une réunion récurrente, veuillez donc vous inscrire une seule fois pour les 4 sessions :

https://zoom.us/meeting/register/tJcldOuppjIpGNNliClqvaXYFEJG7p2397Q1#/…

Le cours se déroulera les jours suivants (fuseau horaire de Paris) :

• Lundi 15 mai : 10h00 - 12h00 
• Mardi 16 mai : 10h00 - 12h00 
• Mercredi 17 mai : 10h00 - 12h00 
• Jeudi 18 mai 10h00 - 12h00

Résumé: 

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.

Veuillez noter que les cours CIMPA/ICTP seront enregistrés et diffusés sur notre chaîne Youtube et sur carmin.tv.