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SUMMARY:The Kalman-Bucy filter revisited: Mean-field equations & duality -
  Sebastian Reich (University of Potsdam)
DTSTART:20230210T160000Z
DTEND:20230210T170000Z
UID:TALK194899@talks.cam.ac.uk
CONTACT:Qingyuan Zhao
DESCRIPTION:Kalman and Bucy derived their famous filtering equations for t
 ime-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 Their approach has now been largely superseded by the Bayesian perspective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 wi
 ll report on two recent developments: (i) Mean field SDE formulations for 
 the Kushner-Stratonovitch equations which maintain the important gain time
 s innovation structure of the Kalman-Bucy filter even under nonlinear filt
 ering problems. (ii) Return of the dual estimation perspective in the form
  of an optimal control problem over a set of forward-backward SDEs. 
LOCATION:MR12\, Centre for Mathematical Sciences
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