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Making Cubature on Wiener Space Work

Posted on 14 July 2021

We’re excited to announce that Dr Christian Litterer, a Lecturer and member of our Mathematical Finance and Stochastic Analysis Research Group, has begun work on his New Investigator Grant “Making Cubature on Wiener Space Work”.

This three-year project is funded by EPSRC and aims to combine the promising and novel approach of ‘cubature on Wiener space’ developed by Kusuoka, Lyons and Victoir with recombination of particle measures into a powerful method that can be adopted by practitioners. As part of this work the project also seeks to use cubature ideas to develop a high-order approximation of non-linear filtering problems, where one makes inferences about the evolution of complex phenomena based on partial observations of the system. Non-linear filtering problem arise in many practical applications ranging from the focus of a camera in a mobile tracking a moving object, via the imaging produced by a modern MRI scanner in hospital, to the prediction of next week's weather by means of a supercomputer.