Seminar in applied mathematics and statistics

SPEAKER: Moritz Schauer (University of Leiden).

TITLE: Filtering and non-linear smoothing of diffusion processes.

ABSTRACT:  Suppose we discretely observe a diffusion process and we wish to estimate parameters appearing in either the drift coefficient or the diffusion coefficient. We derive a representation of the conditional distribution as change of measure to be embedded as step in a Monte-Carlo procedure to estimate those parameters. The technique is based on solving the reverse time filtering problem for a linear approximation of the diffusion and a change of measure to correct for the difference between the linear approximation and the true process. We apply this to several problems of interest, for example in shape analysis or in tracking convective cloud systems from satellite data with low time resolution.

Tea and chocolate will be served in room 04.4.19 around 16.15, that is after the X-mas lecture in Auditorium 4 at 15.15.


Upcoming events:

Friday, February 8, 2019, at 14.15: Massimiliano Tamborrino

Friday, February 15, 2019 at 14.15: Irene Tubikanec