Solving approximately a prediction problem for stochastic jump-diffusion systems
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Publication:5269178
DOI10.1134/S1995423917010013zbMath1374.93321MaRDI QIDQ5269178
Konstantin A. Rybakov, Tatiana A. Averina
Publication date: 15 June 2017
Published in: Numerical Analysis and Applications (Search for Journal in Brave)
branching processesMonte Carlo methodDuncan-Mortensen-Zakai equationconditional densityKolmogorov-Feller equationprediction problemoptimal filtering problemstochastic jump-diffusion system
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