BIMSA > Seminar on Control Theory and Nonlinear Filtering The estimation algebra of general filtering system
The estimation algebra of general filtering system
Organizer
Shing Toung Yau
Speaker
Jia Yi Kang
Time
Wednesday, September 11, 2024 2:30 PM - 3:00 PM
Venue
理科楼A-304
Abstract
In this report, I will introduce the existence of estimation algebras in more general situations. In fact, for a class of noise-correlated filtering systems, finite dimensional estimation algebras can always exist. For a special class of filtering models, regardless of any assumptions added to the observation noise (general semimartingales) the estimation algebra is always finite-dimensional. For general noise-correlated models, the Wei-Norman method fails, and it becomes necessary to introduce the Lie symmetry theory for SPDEs (Stochastic Partial Differential Equations).