Filtering for jump-diffusion models by statistical modeling method

Autor:	K. A. Rybakov
Jazyk:	ruština
Rok vydání:	2016
Předmět:	branching processes conditional density duncan–mortensen–zakai equation jump-diffusion monte carlo method optimal filtering problem statistical modeling stochastic system Motor vehicles. Aeronautics. Astronautics TL1-4050
Zdroj:	Научный вестник МГТУ ГА, Iss 220, Pp 73-81 (2016)
Druh dokumentu:	article
ISSN:	2079-0619 2542-0119
Popis:	This article develops new methods that reduce the optimal filtering problem for jump-diffusion models to the analysis problem for the special stochastic system with jumps, branching and terminating trajectories. Earlier appropriate methods and algorithms have been proposed and tested for diffusion models.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/66527b773582419a8e109ddc7504e0c5 Zobrazit plný text záznamu View record in DOAJ