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...

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Bibliografische gegevens

Hoofdauteur:	K. A. Rybakov
Formaat:	Artigo
Taal:	Russo
Gepubliceerd in:	Moscow State Technical University of Civil Aviation 2016-12-01
Reeks:	Научный вестник МГТУ ГА
Onderwerpen:	conditional density extrapolation problem jump-diffusion kolmogorov-feller equation filtering problem robust duncan-mortensen-zakai equation spectral method stochastic system
Online toegang:	https://avia.mstuca.ru/jour/article/view/849
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