Omiros Papaspiliopoulos,
Warwick
Title: Filtering in
continuous time
Abstract
In this talk I will review some previous work that I have done with
Gareth Roberts and Paul Fearnhead on filtering for continuously
evolving signal, modelled by a diffusion process, and discrete-time
observations. I will highlight a technical tool which is used in the
construction, the Poisson expansion, and will report on some recent
results we've obtained on its properties. I will also present new work
on filtering when the observation equation is also a diffusion process,
whose drift depends on the signal, in both the case of low frequency
and high frequency observations