Filtering for jump-diffusion models by statistical modeling method

This article develops new methods that reduce the optimal filtering problem for jump-diffusion models to the analysis problem for the special stochastic system with jumps, branching and terminating trajectories. Earlier appropriate methods and algorithms have been proposed and tested for diffusion m...

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Autor principal: K. A. Rybakov
Formato: Artigo
Idioma:Russo
Publicado em: Moscow State Technical University of Civil Aviation 2016-11-01
Colecção:Naučnyj Vestnik MGTU GA
Assuntos:
branching processes
conditional density
duncan–mortensen–zakai equation
jump-diffusion
monte carlo method
optimal filtering problem
statistical modeling
stochastic system
Acesso em linha:https://avia.mstuca.ru/jour/article/view/307
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