Maximum cross section method in the filtering problem for continuous systems with Markovian switching
DOI10.1515/rnam-2021-0011zbMath1469.65025MaRDI 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
Monte Carlo method; statistical modelling; particle filter; maximum cross section method; stochastic differential equation with Markovian switching; system with random structure
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G35: Signal detection and filtering (aspects of stochastic processes)
65C30: Numerical solutions to stochastic differential and integral equations
Cites Work
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