BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//talks.cam.ac.uk//v3//EN
BEGIN:VTIMEZONE
TZID:Europe/London
BEGIN:DAYLIGHT
TZOFFSETFROM:+0000
TZOFFSETTO:+0100
TZNAME:BST
DTSTART:19700329T010000
RRULE:FREQ=YEARLY;BYMONTH=3;BYDAY=-1SU
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0100
TZOFFSETTO:+0000
TZNAME:GMT
DTSTART:19701025T020000
RRULE:FREQ=YEARLY;BYMONTH=10;BYDAY=-1SU
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Nonlinear filtering algorithms based on averaging
over characteristics and on the innovation approac
h. - Tretyakov\, M (University of Leicester)
DTSTART;TZID=Europe/London:20100614T145000
DTEND;TZID=Europe/London:20100614T154000
UID:TALK25293AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/25293
DESCRIPTION:It is well known that numerical methods for nonlin
ear filtering problems\, which directly use the Ka
llianpur-Striebel formula\, can exhibit computatio
nal instabilities due to the presence of very larg
e or very small exponents in both the numerator an
d denominator of the formula. We obtain computatio
nally stable schemes by exploiting the innovation
approach. We propose Monte Carlo algorithms based
on the method of characteristics for linear parabo
lic stochastic partial differential equations. Con
vergence and some properties of the considered alg
orithms are studied. Variance reduction techniques
are discussed. Results of some numerical experime
nts are presented. The talk is based on a joint wo
rk with G.N. Milstein.
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:Mustapha Amrani
END:VEVENT
END:VCALENDAR