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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| Format: | Article |
| Language: | Russian |
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Moscow State Technical University of Civil Aviation
2016-12-01
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| Series: | Naučnyj Vestnik MGTU GA |
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| Online Access: | https://avia.mstuca.ru/jour/article/view/849 |