Dear colleagues,

We are happy to announce the following online talk:

Speaker: Michele Coghi (Università d Trento)

Title: Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering.

Abstract: Motivated by the challenge of incorporating data into misspecified and multiscale dynamical models, we study a McKean-Vlasov equation that contains the data stream as a common driving rough path. This setting allows us to prove well-posedness as well as continuity with respect to the driver in an appropriate rough-path topology. The latter property is key in our subsequent development of a robust data assimilation methodology: We establish propagation of chaos for the associated interacting particle system, which in turn is suggestive of a numerical scheme that can be viewed as an extension of the ensemble Kalman filter to a rough-path framework. Finally, we discuss a data-driven method based on subsampling to construct suitable rough path lifts and demonstrate the robustness of our scheme in a number of numerical experiments related to parameter estimation problems in multiscale contexts. Based on arXiv:2107.06621 https://arxiv.org/abs/2107.06621.

Date and time: Monday February 14, 17:30-18:30 (Rome time zone)

Zoom link: https://us02web.zoom.us/j/88138955113?pwd=R1Vpa2xWVDlFc2pjUXIxSWpWU21LQT09 https://us02web.zoom.us/j/88138955113?pwd=R1Vpa2xWVDlFc2pjUXIxSWpWU21LQT09

ID riunione: 881 3895 5113 Passcode: 672537

This talk is the second of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia, Milano-Politecnico and Milano-Statale.

Participation is free and welcome! (though limited to 100 participants for technical reasons)

Best regards The organizers (Mario Maurelli, Carlo Orrieri, Maurizia Rossi, Margherita Zanella)