LV-Nr. 3236 L 365

Prof. Dr. Wilhelm Stannat [1]

Time: Mondays 14:15
Room: MA 748
Begin: October 14, 2019

The seminar offers perspectives on our current research in the area of stochastic models and partial differential equations. The seminar is particularly suitable for BSc and MSc students looking for a final project. Students, who want to obtain a "Seminarschein", are welcome as well.

Stochastic Filtering, Data Assimilation:

[F1] B. Fristedt, N, Jain and N. Krylov: Filtering and Prediction: A Primer, Student Mathematical Library, Vol. 38, AMS, 2007

[F2] K. J. H. Law, A. M. Stuart, K. C. Zygalakis: “Data assimilation: a mathematical introduction” homepages.warwick.ac.uk/~masdr/data_assimilation/book_excerpt.pdf [2]

[F3] T. Karvonen: “Stability of linear and non-linear Kalman filters” Master’s thesis users.aalto.fi/~karvont2/ [3]

[F4] S. P. Meyn, R. L. Tweedie “Markov chains and stochastic stability”

probability.ca/MT/BOOK.pdf [4]

[F5] Dembo/Zeitouni – Parameter Estimation of Partially Observed Continuous Time Stochastic Processes via the EM algorithm
James/LeGland – Consistent Parameter Estimation for Partially Observed Diffusions with Small Noise https://www.sciencedirect.com/science/article/pii/0304414986900189 [5]
https://link.springer.com/content/pdf/10.1007/BF01189903.pdf [6]

[F6] Kalman 1960: A New Approach to Linear Filtering and Prediction Problems; Kalman, Bucy 1961: New Results in Linear Filtering and Prediction Theory www.cs.unc.edu/~welch/kalman/media/pdf/Kalman1960.pdf [7]

[F7] Wonham: On the Separation Theorem of Stochastic Control; Fleming, Rishel: Deterministic and Stochastic Control, Springer 1975: Kapitel 6, Abschnitt 11 epubs.siam.org/doi/pdf/10.1137/0306023 [8]

Stochastic Control:

[O1] T. Breiten, K. Kunisch, L. Pfeiffer: Control Strategies for the Fokker-Planck Equation arxiv.org/abs/1707.07510 [9]

[O2] L. Pfeiffer: Numerical Methods for Mean-Field-Type Optimal Control Problems, Pure Appl. Funct. Anal. 1 (2016), no. 4, 629–655. arxiv.org/abs/1703.10001 [10]

[O3] L. Pfeiffer: Optimality conditions for mean-field type optimal control problems, TU Graz, SFB-Report-2015-015 https://imsc.uni-graz.at/mobis/publications/SFB-Report-2015-015.pdf [11]

[O4] L. Pfeiffer: Two approaches to stochastic optimal control problems with a final-time expectation constraint.  Appl. Math. Optim. 77 (2018), no. 2, 377–404. link.springer.com/article/10.1007/s00245-016-9378-9 [12]