APPROXIMATE FILTER FOR JUMP-DIFFUSION MODELS

A new approach to the optimal filtering problem for jump-diffusion models is considered in this paper. This approach is based on the statistical modeling method (Monte Carlo method). It is assumed that the observation object and measurement system are described by Itô stochastic differential equatio...

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Hlavní autor:	K. A. Rybakov
Médium:	Artigo
Jazyk:	Russo
Vydáno:	Moscow State Technical University of Civil Aviation 2016-11-01
Edice:	Научный вестник МГТУ ГА
Témata:	branching processes conditional density duncan-mortensen-zakai equation jump-diffusion kushner-stratonovich equation monte carlo method optimal filtering problem stochastic system
On-line přístup:	https://avia.mstuca.ru/jour/article/view/232
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