Solving approximately a prediction problem for stochastic jump-diffusion systems

DOI10.1134/S1995423917010013MaRDI QIDQ5269178zbMATH OpenFDO

Authors T. A. Averina, K. A. Rybakov

Publication date 15 June 2017

Published in Numerical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S1995423917010013

zbMATH Keywords

branching processesconditional densityDuncan-Mortensen-Zakai equationKolmogorov-Feller equationMonte Carlo methodoptimal filtering problemprediction problemstochastic jump-diffusion system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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(7)

• Continuous finite-dimensional locally optimal filtering of jump diffusions
• Using maximum cross section method for filtering jump-diffusion random processes
• The H multistep ahead prediction problem: Existence and convergence of solutions
• Statistical prediction algorithms for nonlinear stochastic jump-diffusion systems
• A modification of numerical methods for stochastic differential equations with the first integral
• On one method for modeling an nonhomogeneous Poisson point process
• Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps

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