Geodesic
An approximate solution of the prediction problem for stochastic jump-diffusion systems
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 20 (2017) no. 1, pp. 1-13

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In this paper we discuss the evolution of the new approach to the prediction problem for nonlinear stochastic differential systems with a Poisson component. The proposed approach is based on reducing the prediction problem to the analysis of stochastic jump-diffusion systems with terminating and branching paths. The solution of the prediction problem can be approximately found by using numerical methods for solving stochastic differential equations and methods for modeling inhomogeneous Poisson flows. 
@article{SJVM_2017_20_1_a0,
     author = {T. A. Averina and K. A. Rybakov},
     title = {An approximate solution of the prediction problem for stochastic jump-diffusion systems},
     journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
     pages = {1--13},
     publisher = {mathdoc},
     volume = {20},
     number = {1},
     year = {2017},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJVM_2017_20_1_a0/}
}
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T. A. Averina; K. A. Rybakov. An approximate solution of the prediction problem for stochastic jump-diffusion systems. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 20 (2017) no. 1, pp. 1-13. http://geodesic.mathdoc.fr/item/SJVM_2017_20_1_a0/