MAT4790 – Stochastic Filtering
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.
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.
Students admitted at UiO must apply for courses in Studentweb. Students enrolled in other Master's Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.
Nordic citizens and applicants residing in the Nordic countries may apply to take this course as a single course student.
If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures for international applicants.
Recommended previous knowledge
10 credits overlap with MAT9790 – Stochastic Filtering
*The information about overlaps for discontinued courses may not be complete. If you have questions, please contact the Department
4 hours lectures/exercises per week.
Final oral or written examination. The form of examination will be announced by the teaching staff by 15 October/15 March for the autumn semester and the spring semester respectively.
Examination support material
No examination support material is allowed.
Language of examination
Subjects taught in English will only offer the exam paper in English.
You may write your examination paper in Norwegian, Swedish, Danish or English.
Grades are awarded on a scale from A to F, where A is the best grade and F is a fail. Read more about the grading system.
Explanations and appeals
Resit an examination
Students who can document a valid reason for absence from the regular examination are offered a postponed examination at the beginning of the next semester.
Re-scheduled examinations are not offered to students who withdraw during, or did not pass the original examination.
Withdrawal from an examination
It is possible to take the exam up to 3 times. If you withdraw from the exam after the deadline or during the exam, this will be counted as an examination attempt.
Special examination arrangements
Application form, deadline and requirements for special examination arrangements.
The course is subject to continuous evaluation. At regular intervals we also ask students to participate in a more comprehensive evaluation.