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: | Научный вестник МГТУ ГА |
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| Online Access: | https://avia.mstuca.ru/jour/article/view/849 |
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| _version_ | 1850028423393574912 |
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| author | K. A. Rybakov |
| author_facet | K. A. Rybakov |
| author_sort | K. A. Rybakov |
| collection | DOAJ |
| 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. |
| format | Article |
| id | doaj-art-ff32c190592d4479a9e0b6e022a2074c |
| institution | DOAJ |
| issn | 2079-0619 2542-0119 |
| language | Russian |
| publishDate | 2016-12-01 |
| publisher | Moscow State Technical University of Civil Aviation |
| record_format | Article |
| series | Научный вестник МГТУ ГА |
| spelling | doaj-art-ff32c190592d4479a9e0b6e022a2074c2025-08-20T02:59:49ZrusMoscow State Technical University of Civil AviationНаучный вестник МГТУ ГА2079-06192542-01192016-12-0102241423849THE 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 |
| spellingShingle | K. A. Rybakov THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS Научный вестник МГТУ ГА conditional density extrapolation problem jump-diffusion kolmogorov-feller equation filtering problem robust duncan-mortensen-zakai equation spectral method stochastic system |
| title | 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_short | 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 |
| 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 |