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      Numerical approximation to nonlinear filter problem

      發布者:文明辦發布時間:2020-12-15瀏覽次數:10


      主講人:鄒永魁  吉林大學教授


      時間:2020年12月15日19:00


      地點:騰訊會議 135 297 774


      舉辦單位:數理學院


      主講人介紹:鄒永魁,男,1967年生人,教授,博士生導師。主要從事發展方程及分支問題數值計算方法和隨機偏微分方程數值計算方法的研究,在國內外SCI檢索的學術期刊上發表學術論文40余篇。2007年被評為吉林省優秀教師。主持和參加國家自然科學基金項目16項。


      內容介紹: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 adapt Galerkin method is applied for spatial variable.  The convergence is analysed and proved. A numerical experiment is presented to  demonstrate the convergence of the numerical method.

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