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

Tatyana A. Averina; Konstantin A. Rybakov

doi:10.1515/rnam-2020-0005

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

Tatyana A. Averina, Konstantin A. Rybakov

Кафедра вычислительной математики ММФ

Результат исследования: Научные публикации в периодических изданиях › статья › рецензирование

7 Цитирования (Scopus)

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
Страницы (с-по)	55-67
Число страниц	13
Журнал	Russian Journal of Numerical Analysis and Mathematical Modelling
Том	35
Номер выпуска	2
DOI	https://doi.org/10.1515/rnam-2020-0005
Состояние	Опубликовано - 1 апр. 2020

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10.1515/rnam-2020-0005

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Using maximum cross section method for filtering jump-diffusion random processes. / Averina, Tatyana A.; Rybakov, Konstantin A.

В: Russian Journal of Numerical Analysis and Mathematical Modelling, Том 35, № 2, 01.04.2020, стр. 55-67.

Результат исследования: Научные публикации в периодических изданиях › статья › рецензирование

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