A mini-course 'Two problems of filtering for random processes' Professor A.Veretennikov

From 15 May to 18 May Professor A. Veretennikov (University of Leeds, UK) delivered the mini-course, 'Two problems of filtering for random processes' 

Course programme:

1)  Discrete stochastic models of financial mathematics (lectures 1 and 2) - A summary of the Masters course at Leeds University (33+ hours) on the aforementioned topic.

2) Models of the average field in the CDS and TMO (lectures 5 and 4). In the CDU, these are usually referred to as the Mackin-Vlasov equations. In TMT, this is the ultimate version of the so-called multi-agent or multiparticle model with a large number of interacting agents (particles, devices). Existence, uniqueness and, if time allows, convergence of the many-particle model will be discussed.