5月8日 邹永魁教授学术报告

发布时间:2021-05-06

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

主讲人：邹永魁，吉林大学数学学院教授

报告时间：2021年5月8日16:00-17:00

报告地点：实验室312会议室（东校区）

主持：陆遥教授

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.