Maximum cross section method in the filtering problem for continuous systems with Markovian switching

DOI10.1515/RNAM-2021-0011zbMath1469.65025OpenAlexW3175490886MaRDI QIDQ1983514

Konstantin A. Rybakov, Tatiana A. Averina

Publication date: 10 September 2021

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rnam-2021-0011

zbMATH Keywords

Monte Carlo methodstatistical modellingparticle filtermaximum cross section methodstochastic differential equation with Markovian switchingsystem with random structure

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Fundamentals of stochastic filtering
• The maximal section algorithm in the Monte Carlo method
• Finite-dimensional recurrent algorithms for optimal nonlinear logical-dynamical filtering
• Control of the probability distribution of a system state based on its structure indicator
• On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching
• Using maximum cross section method for filtering jump-diffusion random processes
• Efficiency analysis of a filtering algorithm for discrete-time linear stochastic systems with polynomial measurements
• Numerical solution algorithms for stochastic differential systems with switching diffusion
• On the estimation of regime-switching Lévy models
• A randomized maximum cross-section method to simulate random structure systems with distributed transitions
• Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
• Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching

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