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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.