Statistical prediction algorithms for nonlinear stochastic jump-diffusion systems

MaRDI QIDQ4568435zbMATH OpenFDO

Authors T. A. Averina, K. 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

extrapolationMonte Carlo methodbranching processesconditional densityKolmogorov-Feller equationprediction problemDuncan-Mortensen-Zakai equationoptimal filtering problemstatistical algorithmstochastic jump-diffusion system

Mathematics Subject Classification ID

Numerical analysis (65-XX) Systems theory; control (93-XX)

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Cited in

(1)

• Using machine learning to predict statistical properties of non-stationary dynamical processes: System climate,regime transitions, and the effect of stochasticity

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