Abstract
The paper is focused on problem of filtering random processes in dynamical systems whose mathematical models are described by stochastic differential equations with a Poisson component. The solution of a filtering problem supposes simulation of trajectories of solutions to a stochastic differential equation. The trajectory modelling procedure includes simulation of a Poisson flow permitting application of the maximum cross section method and its modification.
Funding: The work was carried out within the State assignment ICMMG SB RAS (project 0315-2019-0002) and was partly supported by the Russian Foundation for Basic Research (project 17–08–00530-a).
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Articles in the same Issue
- Using maximum cross section method for filtering jump-diffusion random processes
- Testing of kinetic energy backscatter parameterizations in the NEMO ocean model
- High order modified differential equation of the Beam–Warming method, I. The dispersive features
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Articles in the same Issue
- Using maximum cross section method for filtering jump-diffusion random processes
- Testing of kinetic energy backscatter parameterizations in the NEMO ocean model
- High order modified differential equation of the Beam–Warming method, I. The dispersive features
- Numerical steady state analysis of the Marchuk–Petrov model of antiviral immune response
- Mathematical modelling of acute phase of myocardial infarction