Аннотация
In this paper, a new approach to solving a prediction problem for nonlinear stochastic differential systems with a Poisson component is discussed. In this approach, the prediction problem is reduced to an analysis of stochastic jump-diffusion systems with terminating and branching paths. The prediction problem can be approximately solved by using numerical methods for stochastic differential equations and methods for modeling inhomogeneous Poisson flows.
| Язык оригинала | английский |
|---|---|
| Страницы (с-по) | 1-10 |
| Число страниц | 10 |
| Журнал | Numerical Analysis and Applications |
| Том | 10 |
| Номер выпуска | 1 |
| DOI | |
| Состояние | Опубликовано - 1 янв 2017 |
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Цитировать
Averina, T. A., & Rybakov, K. A. (2017). Solving approximately a prediction problem for stochastic jump-diffusion systems. Numerical Analysis and Applications, 10(1), 1-10. https://doi.org/10.1134/S1995423917010013