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Using maximum cross section method for filtering jump-diffusion random processes
Russian Journal of Numerical Analysis and Mathematical Modelling ( IF 0.6 ) Pub Date : 2020-04-28 , DOI: 10.1515/rnam-2020-0005
Tatyana A. Averina 1 , Konstantin A. Rybakov 2
Affiliation  

Abstract 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.

中文翻译:

使用最大截面法过滤跳跃扩散随机过程

摘要 本文重点研究动态系统中随机过程的滤波问题,该系统的数学模型由具有泊松分量的随机微分方程描述。过滤问题的解决方案假设对随机微分方程解的轨迹进行模拟。轨迹建模程序包括泊松流的模拟,允许应用最大横截面方法及其修改。
更新日期:2020-04-28
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