## The Filtering Problem and Portfolio Optimization under Partial Information – Summer Term 2019

On this webpage you find all information on my seminar on **The Filtering Problem and Portfolio Optimization under Partial Information** in the summer term 2019 at TU Berlin.

### Background

In many fields of applications one faces the problem of filtering the true state of a system out of a noisy signal. Classical examples entail

**Speech Recognition**: Filter the actual spoken words out of a noisy sound file;**Parameter Estimation for Financial Models**: Determine the drift or volatility of an asset price by only observing the price process.

In this seminar, we first discuss this **filtering problem** from a theoretical point of view before studying several applications arising in **mathematical finance** in the context of **optimal portfolio choice** in models with partially observable price processes.

### General Information

The seminar will be held **in German** as a **block seminar** towards the end of the semester. The exact dates will be announced during the **first meeting** held on

**Friday, April 12, 2019 at 10:00h in room MA-721.**

In this meeting, we will discuss all **administrative matters** (assessment criteria, presentations, …) and **distribute the individual topics**.

The seminar is directed towards **Master Students** who are familiar with the basics of **Stochastic Analysis** / **Itô-Calculus** and **Financial Mathematics**. Some knowledge of **Stochastic Optimal Control** is advantageous, but not strictly necessary.

If you are interested in participating in the seminar, I would appreciate if you could **let me know via E-Mail** in advance of the first meeting, so that I have a rough overview of how many talks to prepare.