Maximum Cross Section Method in Optimal Filtering of Jump-Diffusion Random Processes

Tatyana Averina, Konstantin Rybakov

Research output: Chapter in Book/Report/Conference proceedingConference contributionResearchpeer-review

Abstract

The paper deals with the optimal filtering problem for random processes in dynamical systems whose mathematical models include stochastic differential equations with a compound Poisson process. The particle method and the maximum cross section method are applied for optimal filtering.

Original languageEnglish
Title of host publication2019 15th International Asian School-Seminar Optimization Problems of Complex Systems, OPCS 2019
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages8-11
Number of pages4
ISBN (Electronic)9781728129860
DOIs
Publication statusPublished - Aug 2019
Event15th International Asian School-Seminar Optimization Problems of Complex Systems, OPCS 2019 - Novosibirsk, Russian Federation
Duration: 26 Aug 201930 Aug 2019

Publication series

Name2019 15th International Asian School-Seminar Optimization Problems of Complex Systems, OPCS 2019

Conference

Conference15th International Asian School-Seminar Optimization Problems of Complex Systems, OPCS 2019
CountryRussian Federation
CityNovosibirsk
Period26.08.201930.08.2019

Keywords

  • maximum cross section method
  • optimal filtering
  • particle filter
  • particle method
  • Poisson process
  • statistical modeling
  • stochastic differential equation

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