course

In our last lessons (28. Feb., 1., 14. and 15. March) we discussed the construction of strong solutions to SDE's (Ch. 5 in the book of ?ksendal). Further, as an application of SDE theory we studied stochastic filtering theory (Ch. 6 in ?ksendal).

Our plan for next week (21., 22. March) is to complete the proof of the main result in connection with linear filtering (Kalman-Bucy filter).