Abstract
The paper is focused on problem of filtering random processes in dynamical systems whose mathematical models are described by stochastic differential equations with a Poisson component. The solution of a filtering problem supposes simulation of trajectories of solutions to a stochastic differential equation. The trajectory modelling procedure includes simulation of a Poisson flow permitting application of the maximum cross section method and its modification.
Original language | English |
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Pages (from-to) | 55-67 |
Number of pages | 13 |
Journal | Russian Journal of Numerical Analysis and Mathematical Modelling |
Volume | 35 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1 Apr 2020 |
Keywords
- estimation
- filtering
- maximum cross section method
- particle filter
- particle method
- statistical modelling
- Stochastic differential equation with jumps