Applied Math Seminar

Speaker: Prof. Yanzhao Cao

Title: PDF method for nonlinear filtering problem: from Fokker Plank equation to Zakai equation and  backward SDES. 

Abstract: In these two talks, I will use the Fokker Plank equation, whose solution is the PDF of a stochastic differential equation, to derive the stochastic partial differential equations and backward stochastic differential equations related to nonlinear filtering problems. Numerical methods of solving these equations will be discussed.