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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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
kushner-stratonovich equation
monte carlo method
optimal filtering problem
stochastic system
Acesso em linha:https://avia.mstuca.ru/jour/article/view/232
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