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Solving approximately a prediction problem for stochastic jump-diffusion systems

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Abstract

In this paper, a new approach to solving a prediction problem for nonlinear stochastic differential systems with a Poisson component is discussed. In this approach, the prediction problem is reduced to an analysis of stochastic jump-diffusion systems with terminating and branching paths. The prediction problem can be approximately solved by using numerical methods for stochastic differential equations and methods for modeling inhomogeneous Poisson flows.

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Authors and Affiliations

  1. Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. Akad. Lavrent’eva 6, Novosibirsk, 630090, Russia

    T. A. Averina

  2. Novosibirsk State University, ul. Pirogova 2, Novosibirsk, 630090, Russia

    T. A. Averina

  3. Moscow Aviation Institute (State Technical University), Volokolamskoye sh. 4, A-80, GSP-3, Moscow, 125993, Russia

    K. A. Rybakov

Authors
  1. T. A. Averina
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  2. K. A. Rybakov
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Correspondence to T. A. Averina.

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Original Russian Text © T.A. Averina, K.A. Rybakov, 2017, published in Sibirskii Zhurnal Vychislitel’noi Matematiki, 2017, Vol. 20, No. 1, pp. 1–13.

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Averina, T.A., Rybakov, K.A. Solving approximately a prediction problem for stochastic jump-diffusion systems. Numer. Analys. Appl. 10, 1–10 (2017). https://doi.org/10.1134/S1995423917010013

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  • DOI: https://doi.org/10.1134/S1995423917010013

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