Русская версия
ISSN 1817-2172, рег. Эл. № ФС77-39410, ВАК

Differential Equations and Control Processes
(Differencialnie Uravnenia i Protsesy Upravlenia)

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Extrapolation Algorithms for Stochastic Differential Systems Based on Modeling Special Branching Process

Author(s):

Konstantin A. Rybakov

Moscow aviation institute (national research university),
Mathematical cybernetics department, associate professor
associate professor, candidate of physico-mathematical sciences

rkoffice@mail.ru

Abstract:

New algorithms for solving the extrapolation problem for nonlinear stochastic differential systems by statistical modeling are given. These algorithms are based on optimal filtering algorithms by modeling the special random process with terminating and branching paths. The solution of extrapolation problem can be found by numerical methods for solving stochastic differential equations and methods for modeling inhomogeneous Poisson flows.

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