MAT4790 – Stochastic Filtering
Course description
Schedule, syllabus and examination date
Course content
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.
Learning outcome
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.
Admission to the course
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
MAT4720 - Stochastic analysis and stochastic differential equations
Overlapping courses
- 10 credits overlap with MAT9790 – Stochastic Filtering.
Teaching
4 hours lectures/exercises per week throught the semester.
Upon the attendance of three or fewer students, the lecturer may, in conjunction with the Head of Teaching, change the course to self-study with supervision.
Examination
Final written exam or final oral exam, which counts 100 % towards the final grade.
The form of examination will be announced by the lecturer by 1 October/1 March for the autumn semester and the spring semester respectively.
This course has 1 mandatory assignments that must be approved before you can sit the final exam.
It will also be counted as one of the three attempts to sit the exam for this course, if you sit the exam for one of the following courses: MAT9790 – Stochastic Filtering
Examination support material
No examination support material is allowed.
Language of examination
Courses taught in English will only offer the exam paper in English.
You may submit your response in Norwegian, Swedish, Danish or English.
Grading scale
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.
Resit an examination
This course offers both postponed and resit of examination. Read more:
More about examinations at UiO
- Use of sources and citations
- Special exam arrangements due to individual needs
- Withdrawal from an exam
- Illness at exams / postponed exams
- Explanation of grades and appeals
- Resitting an exam
- Cheating/attempted cheating
You will find further guides and resources at the web page on examinations at UiO.