A splitting-up method for nonlinear filtering problem with correlation noise
报告题目(Title)：A splitting-up method for nonlinear filtering problem with correlation noise
报告人(Speaker)：邹永魁（教授，吉林大学数学学院）
地点(Place)：后主楼1220
时间(Time)：2021年5月15日，下午4:30-5:30
邀请人(Inviter)：北师大PDE团队
报告摘要
We present a valid numerical method for nonlinear filtering problem with correlation noise. A Zakai equation is obtained by transforming the problem to a new measure space. The splitting-up method and Euler iterative method are used for time variable. The adaptive Galerkin method is applied for spatial variable. The convergence is analyzed and proved. Numerical experiments are presented to demonstrate the convergence of the numerical method.
