报告人：邹永魁教授

报告题目：A splitting-up method for nonlinear filtering problem with correlation noise

报告摘要：

(1)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. Using the splitting-up technique, we approximate the Zakai equation with two equations consisting of a first-order stochastic partial differential equation and a deterministic second-order partial differential equation.

(2)For splitting-up equations, we use a spectral Galerkin method for the spatial discretization and a finite difference scheme for the temporal discretization. The main results are an error estimate for the semi-discretized scheme with respect to the spatial variable, and an error estimate for the full discretized scheme. To improve the numerical performance, we apply an adaptive technique to accurately locate the support domain of the solution in each time iteration. Finally, we present numerical experiments to demonstrate our theoretical analysis.

报告时间：2022年11月26日上午9:00-12:00

报告形式：腾讯会议；会议号：706-946-893

获取会议密码请发邮件至：liuwenjie@hit.edu.cn

报告人简介：邹永魁，吉林大学数学学院教授、博士生导师，主要研究方向为随机微分方程数值方法研究。在国内外有影响的学术期刊上发表学术论文40余篇。主持并完成了国家自然基金项目、国家重点研发项目等项目10余项。2005年入选教育部新世纪人才支持计划，2007年被评为吉林省优秀教师。