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 Izv. IMI UdGU, 2015, Issue 2(46), Pages 155–162 (Mi iimi316)

Modified statistical algorithms for filtering and extrapolation in continuous-time stochastic systems

K. A. Rybakov

Moscow Aviation Institute (National Research University), Volokolamskoe shosse, 4, Moscow, 125993, Russia

Abstract: To solve the optimal filtering and extrapolation problems for continuous-time stochastic systems, which are described by stochastic differential equations, we propose new algorithms based on modeling the paths of the special random process with terminating and branching. In previous papers the “maximal section algorithm” has been used, but in this paper we use the definition only for inhomogeneous Poisson flows modeling. Therefore, it is not necessary to build a separate grid for each path of the random process with terminating and branching in the numerical solution of stochastic differential equations. The proposed algorithms are easier, they are preferred for real-time optimal filtering and extrapolation.

Keywords: branching process, optimal filtering, extrapolation, statistical modeling, stochastic system.

 Funding Agency Grant Number Russian Foundation for Basic Research 13-08-00323-à

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UDC: 519.218
MSC: 60G35, 93E11

Citation: K. A. Rybakov, “Modified statistical algorithms for filtering and extrapolation in continuous-time stochastic systems”, Izv. IMI UdGU, 2015, no. 2(46), 155–162

Citation in format AMSBIB
\Bibitem{Ryb15} \by K.~A.~Rybakov \paper Modified statistical algorithms for filtering and extrapolation in continuous-time stochastic systems \jour Izv. IMI UdGU \yr 2015 \issue 2(46) \pages 155--162 \mathnet{http://mi.mathnet.ru/iimi316} \elib{http://elibrary.ru/item.asp?id=25030041}