THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS

THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS

The article deals with the optimal filtering and extrapolation problems for non-stationary stochastic differential systems with a Poisson component. To find an approximate density of the observed object’s state vector the spectral method based on the representation of robust Duncan-Mortensen-Zakai e...

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Bibliographic Details
Main Author: K. A. Rybakov
Format: Article
Language:Russian
Published: Moscow State Technical University of Civil Aviation 2016-12-01
Series:Naučnyj Vestnik MGTU GA
Subjects:
conditional density
extrapolation problem
jump-diffusion
kolmogorov-feller equation
filtering problem
robust duncan-mortensen-zakai equation
spectral method
stochastic system
Online Access:https://avia.mstuca.ru/jour/article/view/849
Description
Summary:The article deals with the optimal filtering and extrapolation problems for non-stationary stochastic differential systems with a Poisson component. To find an approximate density of the observed object’s state vector the spectral method based on the representation of robust Duncan-Mortensen-Zakai equation and Kolmogorov-Feller equation solutions in the form of orthogonal series is used.
ISSN:2079-0619
2542-0119

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