The Kalman-Bucy filter revisited: Mean-field equations & duality

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• Sebastian Reich (University of Potsdam)
• Friday 10 February 2023, 16:00-17:00
• MR12, Centre for Mathematical Sciences.

If you have a question about this talk, please contact Qingyuan Zhao.

Joint Statistics and CCIMI Seminar (note unusual time)

Kalman and Bucy derived their famous filtering equations for time-continuous linear systems from the perspective of optimal estimation. Their approach has now been largely superseded by the Bayesian perspective and the Kushner-Stratonovitch equation in particular. In this talk, I will report on two recent developments: (i) Mean field SDE formulations for the Kushner-Stratonovitch equations which maintain the important gain times innovation structure of the Kalman-Bucy filter even under nonlinear filtering problems. (ii) Return of the dual estimation perspective in the form of an optimal control problem over a set of forward-backward SDEs.

This talk is part of the Statistics series.

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