The continuous-discrete filtering problem requires the solution of a partial differential equation known as the Fokker-Planck-Kolmogorov forward equation (FPKfe). The path integral formula for the fundamental solution of the FPKfe is derived and verified for the general additive noise case (i.e., explicitly time-dependent state model and with state-independent rectangular diffusion vielbein). The solution is universal in the sense that the initial distribution may be arbitrary. The practical utility is demonstrated via some examples.


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    Title :

    Universal Nonlinear Filtering using Feynman Path Integrals I: The Continuous-Discrete Model with Additive Noise


    Contributors:
    Balaji, B. (author)


    Publication date :

    2012-07-01


    Size :

    1899688 byte




    Type of media :

    Article (Journal)


    Type of material :

    Electronic Resource


    Language :

    English



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