报告题目：Numerical analysis of a time discretized method for nonlinear filtering problem with diffusive and point process observations

报告人：邹永魁 吉林大学

报告时间：2022年5月26日(周四)下午15:00-16:00

腾讯会议ID：524 215 091

承办团队：数学与统计学院微分方程与动力系统团队

报告摘要：

In this paper we consider a nonlinear filter model with observations driven by correlated diffusive processes and point process. We first derive a Zakai equation whose solution is an unnormalized probability density function of the filter solution. Then we apply a splittingup technique to decompose the Zakai equation into three regular easily solvable stochastic differential equations, based on which we construct a splitting up approximate solution and derive its convergence of first order. Furthermore, we use difference method to construct a semi-discretized approximate solution of Zakai equation and prove the convergence is of half order. Finally we present some numerical experiments to demonstrate the theoretical analysis.

报告人简介：

邹永魁，吉林大学数学研究所副所长，博士生导师，主要研究方向为随机偏微分方程的数值方法研究。