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(June 18/19/20, 2001)

Centre Émile Borel, Institut Henri Poincaré (Amphi. Hermitte).
- 11, rue Pierre et Marie Curie -
F-75231 Paris Cedex 05.


René Carmona.,
Operations Research and Financial Engineering, Princeton University
Pierre Del Moral,
Laboratoire de Statistique et Probabilités, CNRS UMR C5583, Paul Sabatier University, Toulouse III, France.
Jean Jacod,
Laboratoire de Probabilités et Modèles Aléatoires, CNRS UMR 7599, Universités Pierre et Marie Curie et Denis Diderot, Paris VI, France.

Invited speakers:

Jean Bérard (Université Claude Bernard Lyon1) Amarjit Budhiraja (University of North Carolina), N. Fournier (Université de Nancy), D. Gasbarra (Helsinki University) Valentine Genon-Catalot (Université de Marne-la-vallée) Marc Joannides (Université de Grenoble) Michael A. Kouritzin (University of Alberta), Francois LeGland (IRISA, Rennes), Dominic Lee (DSO National Lab. Singapore), Sylvie Méléard (Université Paris-10), Christian Musso (ONERA, Chatillon), Laurent Nicolas (LSP-CNRS, Université de Toulouse-3) Nadia Oudjane (Université Paris-13), Gilles Pagès (Université Paris-12) Philip Protter (Cornell University), O. Talagrand (Lab. Météorologie dynamique, CNRS), Tim Zajic (Lockheed Martin USA).


Laboratoire de Probabilités et Modèles Aléatoires , Pierre et Marie Curie University, Paris VI.
Laboratoire de Statistique et Probabilités , Paul Sabatier University, Toulouse III.
Operations Research and Financial Engineering, Princeton University.


There are no registration fees and no need to pre-register.

There are many Hotels nearby the Institut Henri Poincaré, for instance Hotel du Bresil, 10, rue Le Goff, 75005 PARIS, phone: 01 43 54 7611, fax: 01 46 33 45 78 (RER B Luxembourg), see also the pages jaunes .

Transportation from airport and railway station to the Centre Émile Borel, Institut Henri Poincaré, 11 rue Pierre et Marie Curie, 75231 Paris and the Universités Pierre et Marie Curie et Denis Diderot (Site Chevaleret), 6 rue Clisson 75013 PARIS Métro Chevaleret can be found in the following web page .


In recent years there have been highlight new connections between particle systems and non linear filtering problems. The intent of this workshop is to bring together the applied probability and the engineering community to present current results in the field and to strengthen the potential for communication and collaboration between researchers.
The range of topics to be discussed includes:
non linear filtering, branching and interacting particle systems, Monte-Carlo methods, genetic algorithms, historical and genealogical processes, Feynman-Kac formulas, measure valued processes, generalized Boltzman models, Schrodinger operators,...

Scientific Program

Monday, June 18 :

9h15 : Welcome reception.

10.00-11.00: M. Kouritzin (University of Alberta): Continuous and discrete space particle filters.

11.15-12.15: C. Musso (ONERA, Chatillon), Subhash Challa (Melbourne University): Particle Filtering for Extended Target Tracking.

14.00-15.00: S. Méléard (Université Paris-10): Particle approximations of the Fokker-Planck-Landau equation via colliding Boltzmann systems.

15.00-16.00: N. Fournier (Université de Nancy): Numerical resolution of Smoluchowski's equations.

16.30-17.00: J. Bérard (Université Claude Bernard Lyon1): Genetic algorithms in random media.

17.00-17.30: M. Joannides (Université de Grenoble): Fitness sharing in particle filters.


Tuesday, June 19 :

9.00-10.00: A. Budhiraja (University of North Carolina): Infinite Time Horizon Problems in Nonlinear Filtering.

10.00-11.00: N. Oudjane (Université Paris-13): Uniform convergence of interacting particle methods for nonlinear filtering in case of nonergodic signals.

11.30-12.30: Ph. Protter (Cornell University): The Longstaff-Schwartz algorithm for American option pricing works.

14.00-15.00: T. Zajic (Lockheed Martin): Large deviations for particle systems via a new Laplace-Varadhan type integral lemma.

15.00-16.00: F. LeGland (IRISA, Rennes). : Particle methods for the generation of residuals in partially observed dynamical systems.

16.30-17.00: V. Genon-Catalot (Université de Marne-la-vallée ), C. Laredo (INRA): An explicit non-linear filter.

17.00-17.30: O. Talagrand (Lab. Météorologie dynamique, CNRS): Filtering for assimilation of meteorological observations and numerical weather prediction.


Wednesday, June 20 :

9.00-10.00: D. Lee (DSO National Lab. Singapore): The sequential MCMC filter: Algorithm, motivations and applications.

10.00-11.00: D. Chauveau (Université de Marne-la-Vallée) : Interacting Hastings-Metropolis algorithms.

11.30-12.00: L. Nicolas (LSP-CNRS, Université P. Sabatier, Toulouse 3): Strong propagation of chaos: sharp estimates.

13.30-14.30: R. Carmona (Princeton University) : Filtering stochastic systems with particles: an engineer's perspective.

14.30-15.30: G. Pagès (Université Paris-12): A quantization method for soving non linear problems.

16.00-16.30: D. Gasbarra (Helsinki University) : Particle filters for counting process observations.

16.30-17.00: P. Del Moral (LSP-CNRS, Université P. Sabatier, Toulouse 3): Particle approximations of Lyapunov exponents connected to Schrodinger operators and Feynman-Kac semigroups.


Del Moral Pierre,
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Last modified: Fri Jun 22 15:57:00 METDST