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SUMMARY:Keep the particles -- CANCELLED - Tom Kurtz (Madison-Wisconsin)
DTSTART;VALUE=DATE-TIME:20191021T120000
DTEND;VALUE=DATE-TIME:20191021T130000
UID:https://talks.ox.ac.uk/talks/id/ade45483-a2e9-49ec-b857-bb949c66f46e/
DESCRIPTION:\nStatus: This talk has been cancelled\nSome of the basic idea
s and methodology of what has been called the "bring back the particles"
approach to infinite population limits will be described. The approach is
perhaps better described as "don't let the particles get away in the first
place" or simply "keep the particles". In many areas (for example\, popul
ation biology. statistical physics\, queueing)\, models of large numbers o
f interacting entities (particles) are considered as the number of particl
es tends to infinity. Classically\, the approach has been to consider the
normalized empirical measure determined by the particles\, argue that the
empirical measure must converge as the size of the system tends to infinit
y\, and then identify the limiting measure as the solution of a PDE or SPD
E\, a measure-valued stochastic process\, etc. "Keep the particles" says t
hat the limit of finite systems as the number of particles goes to infinit
y should be an infinite system. The classical McKean-Vlasov model will be
considered along with a closely related model of asset prices. Time permit
ting\, using the approach to derive filtering equations will be discussed.
\nSpeakers:\nTom Kurtz (Madison-Wisconsin)
LOCATION:Mathematical Institute (L4)\, Woodstock Road OX2 6GG
TZID:Europe/London
URL:https://talks.ox.ac.uk/talks/id/ade45483-a2e9-49ec-b857-bb949c66f46e/
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DESCRIPTION:Talk:Keep the particles -- CANCELLED - Tom Kurtz (Madison-Wisc
onsin)
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