Using maximum cross section method for filtering jump-diffusion random processes

Tatyana A. Averina, Konstantin A. Rybakov

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)55-67
Number of pages13
JournalRussian Journal of Numerical Analysis and Mathematical Modelling
Volume35
Issue number2
DOIs
Publication statusPublished - 1 Apr 2020

Keywords

  • estimation
  • filtering
  • maximum cross section method
  • particle filter
  • particle method
  • statistical modelling
  • Stochastic differential equation with jumps

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