BIMSA > Seminar on Control Theory and Nonlinear Filtering Nonlinear Filtering Theory for McKean-Vlasov Type Stochastic Differential Equations
Nonlinear Filtering Theory for McKean-Vlasov Type Stochastic Differential Equations
Organizer
Shing Toung Yau
Speaker
Zeju Sun
Time
Friday, January 12, 2024 9:00 PM - 9:30 PM
Venue
Online
Abstract
In this talk, we will consider estimation theory for partially observed stochastic dynamical systems whose state equations are given by McKean-Vlasov type stochastic differential equations and hence contain a measure term corresponding to the distribution of the solution of the state process. The measure term can be deterministic or stochastic and the observation may depend also on the measure term. For each case, we will derive the corresponding DMZ equation for the unnormalized conditional probability distribution of the state processes given the observations.