Filtering for Discrete Markov Chains
Host
Department of Applied Mathematics
Speaker
Ziteng Cheng
Department of Applied Mathematics, Illinois Institute of Technology
Description
The filtering theory regards estimating an unobservable process X with the information of another (correlated) process Y. This talk aims to give an elementary introduction to the filtering theory under discrete Markov chain set up. Intuitions and mechanism behind the theory will be covered in details.
Event Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning