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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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
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spelling doaj-ff32c190592d4479a9e0b6e022a2074c2021-07-28T21:00:38ZrusMoscow State Technical University of Civil Aviation Naučnyj Vestnik MGTU GA2079-06192542-01192016-12-0102241423849THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELSK. A. Rybakov0МАИThe 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.https://avia.mstuca.ru/jour/article/view/849conditional densityextrapolation problemjump-diffusionkolmogorov-feller equationfiltering problemrobust duncan-mortensen-zakai equationspectral methodstochastic system
collection DOAJ
language Russian
format Article
sources DOAJ
author K. A. Rybakov
spellingShingle K. A. Rybakov
THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS
Naučnyj Vestnik MGTU GA
conditional density
extrapolation problem
jump-diffusion
kolmogorov-feller equation
filtering problem
robust duncan-mortensen-zakai equation
spectral method
stochastic system
author_facet K. A. Rybakov
author_sort K. A. Rybakov
title THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS
title_short THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS
title_full THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS
title_fullStr THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS
title_full_unstemmed THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS
title_sort spectral method of optimal filtering and extrapolation for jump-diffusion models
publisher Moscow State Technical University of Civil Aviation
series Naučnyj Vestnik MGTU GA
issn 2079-0619
2542-0119
publishDate 2016-12-01
description 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.
topic conditional density
extrapolation problem
jump-diffusion
kolmogorov-feller equation
filtering problem
robust duncan-mortensen-zakai equation
spectral method
stochastic system
url https://avia.mstuca.ru/jour/article/view/849
work_keys_str_mv AT karybakov thespectralmethodofoptimalfilteringandextrapolationforjumpdiffusionmodels
AT karybakov spectralmethodofoptimalfilteringandextrapolationforjumpdiffusionmodels
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