Аннотация
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.
Язык оригинала | английский |
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Страницы (с-по) | 55-67 |
Число страниц | 13 |
Журнал | Russian Journal of Numerical Analysis and Mathematical Modelling |
Том | 35 |
Номер выпуска | 2 |
DOI | |
Состояние | Опубликовано - 1 апр 2020 |