Beijing Institute of Mathematical Sciences and Applications

Jiayi Kang

Friday, May 24, 2024 10:00 AM - 11:30 AM

Shuangqing-B806

Zoom 242 742 6089 (BIMSA)

The famous filtering problem of estimating the state of a stochastic dynamical system from noisy observations is of central importance in engineering. This problem can be reduced to solving the Duncan-Mortensen-Zakai (DMZ) equation, which is satisfied by the unnormalized conditional density of the state given the observation history. For general nonlinear filtering problems, solving the DMZ equation can be further reduced to solving a Kolmogorov forward equation offline, and this approach is known as the Yau-Yau algorithm. This mathematically solves the nearly 50-year-old problem of nonlinear filtering under mild conditions.

Jiayi Kang received his Ph.D. in Mathematics from Tsinghua University in 2024. He joined the Beijing Institute of Mathematical Sciences and Applications (BIMSA) as an Assistant Researcher in July 2024, and became an Assistant Professor at the Hetao Institute for Mathematical and Interdisciplinary Sciences (HIMIS) in November 2025. His research focuses on the intersection of deep learning, nonlinear filtering, and computational biology. His main research interests include: neural network-based filtering algorithms and their mathematical foundations, sampling methods in Wasserstein geometry, nonlinear filtering theory (including the Yau-Yau method) and its applications in climate science and other fields, as well as computational genomics and evolutionary system modeling. He is committed to solving complex problems in science and engineering using mathematical and machine learning methods.