Department of Mathematics

Filter Theory - Theory and Applications

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Lecturer Prof. Dr. Josef Teichmann,
Prof. Dr. Thorsten Schmidt
Lecture Wed. 15-18 HG F 7
Wed. 18-19 HG F 7
Coordinator Dr. Oleg Reichmann, Dr. Marcus Wunsch

Exam date:
to be announced later.

Aims of the course

This course covers the theory of linear and non-linear filtering in various levels of generality. After studying theoretical foundations we will cover applications in mathematical finance, statistical aspects as well as numerical methods for solving filtering problems. Included are Filtering with continuous and point process observations (Linear filtering, Non-linear filtering, The general setting), Applications in statistics and interest rate theory and numerical methods like Markov chain approximations, Galerkin approximations or particle filtering.


R Links

R can be downloaded from CRAN



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© 2016 Mathematics Department | Imprint | Disclaimer | 16 April 2013