scientific article; zbMATH DE number 6892595
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Publication:4568435
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
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
branching processesMonte Carlo methodDuncan-Mortensen-Zakai equationextrapolationconditional densityKolmogorov-Feller equationprediction problemoptimal filtering problemstatistical algorithmstochastic jump-diffusion system
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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