Filtering Problem for Random Processes with Stationary Increments

2015 ◽  
Author(s):  
Maksym Luz ◽  
Mikhail Moklyachuk
Keyword(s):  
Random Processes ◽  
Stationary Increments ◽  
Filtering Problem

Using maximum cross section method for filtering jump-diffusion random processes

2020 ◽  
Vol 35 (2) ◽  
pp. 55-67 ◽  
Author(s):  
Tatyana A. Averina ◽  
Konstantin A. Rybakov
Keyword(s):  
Cross Section ◽  
Jump Diffusion ◽  
Random Processes ◽  
Section Method ◽  
Maximum Cross Section ◽  
Modelling Procedure ◽  
Filtering Problem ◽  
Cross Section Method ◽  
Trajectory Modelling ◽  
Poisson Component

Abstract The paper is focused on problem of filtering random processes in dynamical systems whose mathematical models are described by stochastic differential equations with a Poisson component. The solution of a filtering problem supposes simulation of trajectories of solutions to a stochastic differential equation. The trajectory modelling procedure includes simulation of a Poisson flow permitting application of the maximum cross section method and its modification.

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