腾讯会议：839324925
邀请人：王雨顺教授
Abstract: 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 splitting-up 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，吉林大学数学学院教授，博士生导师，主要研究方向为偏微分方程和随机微分方程数值方法的研究。
