STAR-seminars: Alexander Lobbe

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The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.

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Speaker: Alexander Lobbe - University of Oslo

Title: Pathwise approximations for the solution of the non-linear filtering problem


Abstract: Stochastic Filtering deals with the recovery of the state of a signal process from noisy observations.
Filtering models are ubiquitous within science and engineering, weather prediction being only one important example. In such applications, accurate, fast, and stable algorithms for the approximation of the filtering functional are essential.
After introducing the stochastic filtering framework, we consider high order approximations of the solution of the stochastic filtering problem and derive their pathwise representation in the spirit of earlier work by Clark and Davis. The robustness property of the derived approximation is subsequently proved. Thus, we establish that the high order discretised filtering functionals can be represented by Lipschitz continuous functions defined on the observation path space.

Joint work with Dan Crisan and Salvador Ortiz-Latorre

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This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORMSCROLLER, and SPATUS

Published Mar. 5, 2021 9:07 AM - Last modified Mar. 9, 2021 2:58 PM