Publication:4568435

MaRDI QIDQ4568435

Tatiana A. Averina, Konstantin A. Rybakov

Publication date: 21 June 2018

Full work available at URL: http://www.math.spbu.ru/diffjournal/EN/numbers/2017.2/article.1.9.html

zbMATH Keywords

branching processes; Monte Carlo method; Duncan-Mortensen-Zakai equation; extrapolation; conditional density; Kolmogorov-Feller equation; prediction problem; optimal filtering problem; statistical algorithm; stochastic jump-diffusion system

Mathematics Subject Classification ID

65-XX: Numerical analysis

93-XX: Systems theory; control

Cites Work

• Fundamentals of stochastic filtering
• The maximal section algorithm in the Monte Carlo method
• Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
• Theory of stochastic differential equations with jumps and applications.
• Optimal structure of continuous nonlinear reduced-order Pugachev filter
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
• Construction of programmed controls for a dynamic system based on the set of its first integrals
• New algorithms for statistical modeling of inhomogeneous Poisson ensembles
• Nonlinear Filtering for Jump Diffusion Observations
• Particle methods: An introduction with applications
• Solving approximately a prediction problem for stochastic jump-diffusion systems
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