Mini-course by Professor A. Veretennikov
From 3 August to 10 August, Professor A. Veretennikov (University of Leeds, UK) and the Leading Research Fellow of the laboratory of Stochastic Analysis and it's application delivered a mini-course on the following topics:
1. Algorithm for fast convergence to stationary distributions.
2. Approximation of the equations for nonlinear filtering.
Lecture 1: Building a CDS with fast convergence,
Solutions for a given stationary distribution with heavy tails.
Lectures 2-4: The direct method for deriving equations
Nonlinear filtering; approximations of linearised equations corresponding to discrete observations,
Convergence of solutions of discretised equations.