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In this paper, we investigate the Hermite spectral method (HSM) to numerically solve the forward Kolmogorov equation (FKE). A useful guideline of choosing the scaling factor of the generalized Hermite functions is given in this paper. It greatly improves the resolution of HSM. The convergence rate of HSM to FKE is analyzed in the suitable function space and has been verified by the numerical simulation. As an important application and our primary motivation to study the HSM to FKE, we work on the implementation of the nonlinear filtering (NLF) problems with a real-time algorithm developed by S.-T. Yau and the second author in 2008. The HSM to FKE is served as the off-line computation in this algorithm. The translating factor of the generalized Hermite functions and the moving-window technique are introduced to deal with the drifting of the posterior conditional density function of the states in the on-line experiments. Two numerical experiments of NLF problems are carried out to illustrate the feasibility of our algorithm. Moreover, our algorithm surpasses the particle filters as a real-time solver to NLF.

We construct many self-similar and translating solitons for Lagrangian mean curvature flow, including self-expanders and translating solitons with arbitrarily small oscillation on the Lagrangian angle. Our translating solitons play the same role as cigar solitons in Ricci flow, and are important in studying the regularity of Lagrangian mean curvature flow. Given two transverse Lagrangian planes Rn in Cn with sum of characteristic angles less than π, we show there exists a Lagrangian self-expander asymptotic to this pair of planes. The Maslov class of these self-expanders is zero. Thus they can serve as local models for surgeries on Lagrangian mean curvature flow. Families of self-shrinkers and self-expanders with different topologies are also constructed. This paper generalizes the work of Anciaux [1], Joyce [12], Lawlor [15], and Lee and Wang [18, 19].

In this paper, we provide a priori $L^2$ error estimates for the semi-discrete discontinuous Galerkin method and the local discontinuous Galerkin method for one- and two-dimensional nonlinear Hamilton-Jacobi equations with smooth solutions. With a special Gauss-Radau projection, the optimal error estimates on rectangular meshes are obtained.

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