Continuous-Discrete Path Integral Filtering
A summary of the relationship between the Langevin equation, Fokker-Planck-Kolmogorov forward equation (FPKfe) and the Feynman path integral descriptions of stochastic processes relevant for the solution of the continuous-discrete filtering problem is provided in this paper. The practical utility of...
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Format: | Article |
Language: | English |
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MDPI AG
2009-08-01
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Series: | Entropy |
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Online Access: | http://www.mdpi.com/1099-4300/11/3/402/ |