¹Department of Mathematics, Zhejiang University of Technology， Hangzhou 310023，China
²School of Statistics and Mathematics ,Zhejiang Gongshang University， Hangzhou 310018， China
³School of Science Huazhong Agricultural University， Wuhan 430070， China

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Abstract—In the paper, we introduce a kind of method to solve the nonlinear filtering problem. Firstly, we review the basic filtering problem and the reduction from robust Duncan-Mortensen-Zakai equation to Kolmogorov equation. Then we use the difference discrete method to solve the Kolmogorov equation. The result is given to prove that the solution of the difference scheme convergences pointwise to the solution of the initial-value problem of the Kolmogorov equation. At last, the numerical results show that the numerical method can give the exact result.

Index Terms—Nonlinear filtering equation, DMZ equation, Kolmogorov equation.

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Cite: Zhen Liu, Fangfang Dong, Luwei Ding, "Numerical Results of Nonlinear Filtering Problem from Yau-Yau Method," Journal of Computers vol. 7, no. 4, pp. 971-976, 2012.