Cite this article as:

Arutyunyan R. V. Stochastic Simulation of Diffusion Filtering. Izv. Saratov Univ. (N. S.), Ser. Math. Mech. Inform., 2016, vol. 16, iss. 1, pp. 5-12. DOI:

510: 53.072: 621.1.016.4(03)

Stochastic Simulation of Diffusion Filtering


Formulated and investigated is the system of kinetic equations describing the process of diffusion filtering based on a stochastic approach. The theorem of existence and uniqueness of the solution for the case of a continuous density is prove. We obtain the representation of solution in the form of a uniformly convergent and asymptotic series,and explore the nature of its behavior at infinity. The concrete particular cases such as the density of the delta function and a uniform distribution are considered.Thefinite-difference scheme for the solution of the corresponding Cauchy problem on finite intervals of time is constructed and justified. The results of computer simulation are given.


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