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THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS

The article deals with the optimal filtering and extrapolation problems for non-stationary stochastic differential systems with a Poisson component. To find an approximate density of the observed object’s state vector the spectral method based on the representation of robust Duncan-Mortensen-Zakai e...

Ausführliche Beschreibung

Gespeichert in:
1. Verfasser: K. A. Rybakov
Format: Artigo
Sprache:Russo
Veröffentlicht: Moscow State Technical University of Civil Aviation 2016-12-01
Schriftenreihe:Научный вестник МГТУ ГА
Schlagworte:
conditional density
extrapolation problem
jump-diffusion
kolmogorov-feller equation
filtering problem
robust duncan-mortensen-zakai equation
spectral method
stochastic system
Online-Zugang:https://avia.mstuca.ru/jour/article/view/849
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