The estimation algebra of general filtering system
组织者
演讲者
时间
2024年09月11日 14:30 至 15:00
地点
理科楼A-304
摘要
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).