Filtering for jump-diffusion models by statistical modeling method

Abstract

This article develops new methods that reduce the optimal filtering problem for jump-diffusion models to the analysis problem for the special stochastic system with jumps, branching and terminating trajectories. Earlier appropriate methods and algorithms have been proposed and tested for diffusion models.

Keywords

• branching processes
• conditional density
• duncan–mortensen–zakai equation
• jump-diffusion
• monte carlo method
• optimal filtering problem
• statistical modeling
• stochastic system