ὅδε οἶκος, ὦ ἑταῖρε, μνημεῖον ἐστιν ζῴων τῶν σοφῶν ἀνδρῶν, καὶ τῶν ἔργων αὐτῶν

Seminar on Stohastics

 

PROGRAM


SEMINAR IZ STOHASTIKE
Matematicki institut SANU
Kneza Mihaila 35/1

PLAN RADA SEMINARA ZA MAJ 2002.

Cetvrtak, 8. maj u 12 h.
dr Slobodanka Mitrovic:
Stochastic modelling of the number of trees and the number of felled trees in selection stands

We solve the problem of forecasting the number of trees in the selection stands predicted for harvesting in a future period, so that the present resource of the number of trees is sustained. This is achieved by stochastic modelling of the number of trees and the number of felled trees and by solving the partial differential equation.
KEY WORDS: random walk, Ito's lemma, lognormal distribution, Ito's stochastic differential equation, portfolio, partial differential equation.

Cetvrtak, 22. maj u 12 h.
Tatjana Bajic:
Kalman-Bucy filtracija

Razmatra se matematicki prilaz vremenski neprekidnoj Kalman-Bucy filtraciji, gde je proces stanja $X(t)$ dinamickog stohastickog sistema opisan linearnom SDJ-om, a proces koji se posmatra $Z(s)$ linearnom jednacinom po $X(s),\ 0\leq s\leq t.$ Osnovni cilj Kalman-Bucy filtracije je konstrukcija stohastickog procesa $X$($t),t\geq 0$ na osnovu posmatranja $Z(s),\ 0\leq s\leq t$, tako da u najoptimalnijem smislu aproksimira proces stanja $X(t)$ sistema. Bice predstavljen algoritam za nalazenje ocene $X(t)$, stanja sistema $X(t)$, kao linearne ocene sa minimalnom varijansom. Osim toga bice pomenut problem nelinearne filtracije, gde je matematicki model dinamickog sistema u Kalman-Bucy filteru nelinearna SDJ-a.

Slobodanka Jankovic i Svetlana Jankovic
rukovodioci seminara