TY - JOUR

T1 - Using maximum cross section method for filtering jump-diffusion random processes

AU - Averina, Tatyana A.

AU - Rybakov, Konstantin A.

PY - 2020/4/1

Y1 - 2020/4/1

N2 - 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.

AB - 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.

KW - estimation

KW - filtering

KW - maximum cross section method

KW - particle filter

KW - particle method

KW - statistical modelling

KW - Stochastic differential equation with jumps

UR - http://www.scopus.com/inward/record.url?scp=85084728278&partnerID=8YFLogxK

U2 - 10.1515/rnam-2020-0005

DO - 10.1515/rnam-2020-0005

M3 - Article

AN - SCOPUS:85084728278

VL - 35

SP - 55

EP - 67

JO - Russian Journal of Numerical Analysis and Mathematical Modelling

JF - Russian Journal of Numerical Analysis and Mathematical Modelling

SN - 0927-6467

IS - 2

ER -