Schedule, syllabus and examination date

Course content

The course provides an introduction to the stochastic filtering problem from stochastic analysis point of view. The objective of stochastic filtering is to estimate the state of a dynamical system from partial observations. This kind of problem arises everywhere, from telecommunications technology to mathematical finance.

Learning outcome

After having completed the course, you will:

  • understand the basic ingredients in the continuous time nonlinear stochastic filtering problem;
  • be familiar with the change of reference measure method;
  • be familiar with the Kallianpur-Striebel formula, the Zakai equation and the Kushner-Stratonovich equation;
  • know some numerical methods for solving the filtering problem, including particle filters.

In addition to the final examination, each PhD student is expected to give an oral presentation on a topic of relevance (chosen in cooperation with the lecturer). The presentation has to be approved by the lecturer for the student to be admitted to the final examination.

Admission to the course

PhD candidates from the Faculty of Mathematics and Natural Sciences at the University of Oslo should apply for classes and register for examinations through Studentweb.

If a course has limited intake capacity, priority will be given to PhD candidates who follow an individual education plan where this particular course is included. Some national researchers’ schools may have specific rules for ranking applicants for courses with limited intake capacity.

PhD candidates who have been admitted to another higher education institution must apply for a position as a visiting student within a given deadline.

MAT4720 - Stochastic analysis and stochastic differential equations

Overlapping courses

Teaching

4 hours lectures/exercises per week throught the semester.

Upon the attendance of three or fewer students, the lecturer may, in conjunction with the Head of Teaching, change the course to self-study with supervision.