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In this paper, we consider a nonlinear filtering model with observations driven by correlated Wiener processes and point processes. We first derive a Zakai equation whose solution is a unnormalized probability density function of the filter solution. Then we apply a splitting-up technique to decompose the Zakai equation into three stochastic differential equations, based on which we construct a splitting-up approximate solution and prove its half-order convergence. Furthermore, we apply a finite difference method to construct a time semi-discrete approximate solution to the splitting-up system and prove its half-order convergence to the exact solution of the Zakai equation. Finally, we present some numerical experiments to demonstrate the theoretical analysis.

This paper is devoted to a weak Galerkin (WG) finite element method for linear poroelasticity problems where weakly defined divergence and gradient operators over discontinuous functions are introduced. We establish both the continuous and discrete time WG schemes, and obtain their optimal convergence order estimates in a discrete $H^1$ norm for the displacement and in an $H^1$ type and $L^2$ norms for the pressure. Finally, numerical experiments are presented to illustrate the theoretical error results in different kinds of meshes which shows the WG flexibility for mesh selections, and to verify the locking-free property of our proposed method., Comment: 25 pages, 6 figures