Continuous-Discrete Path Integral Filtering

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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Bibliographic Details
Main Author:	Bhashyam Balaji
Format:	Article
Language:	English
Published:	MDPI AG 2009-08-01
Series:	Entropy
Subjects:	Fokker-Planck equation Kolmogorov equation universal nonlinear filtering Feynman path integrals path integral filtering data assimilation tracking continuousdiscrete filters nonlinear filtering Dirac-Feynman approximation
Online Access:	http://www.mdpi.com/1099-4300/11/3/402/

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