APPROXIMATE FILTER FOR JUMP-DIFFUSION MODELS
A new approach to the optimal filtering problem for jump-diffusion models is considered in this paper. This approach is based on the statistical modeling method (Monte Carlo method). It is assumed that the observation object and measurement system are described by Itô stochastic differential equatio...
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| Format: | Article |
| Language: | Russian |
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Moscow State Technical University of Civil Aviation
2016-11-01
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| Series: | Naučnyj Vestnik MGTU GA |
| Subjects: | |
| Online Access: | https://avia.mstuca.ru/jour/article/view/232 |