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THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS

Abstract

The article deals with the optimal filtering and extrapolation problems for non-stationary stochastic differential systems with a Poisson component. To find an approximate density of the observed object’s state vector the spectral method based on the representation of robust Duncan-Mortensen-Zakai equation and Kolmogorov-Feller equation solutions in the form of orthogonal series is used.

About the Author

K. A. Rybakov
МАИ
Russian Federation


References

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Review

For citations:


Rybakov K.A. THE SPECTRAL METHOD OF OPTIMAL FILTERING AND EXTRAPOLATION FOR JUMP-DIFFUSION MODELS. Civil Aviation High Technologies. 2016;(224):14-23. (In Russ.)

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ISSN 2079-0619 (Print)
ISSN 2542-0119 (Online)