Filtering for jump-diffusion models by statistical modeling method
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 m...
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| Format: | Article |
| Language: | Russian |
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Moscow State Technical University of Civil Aviation
2016-11-01
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| Series: | Научный вестник МГТУ ГА |
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| Online Access: | https://avia.mstuca.ru/jour/article/view/307 |