Feynman path integrals and continuous-discrete filtering – The additive noise case

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Authors
  1. Balaji, B.
Corporate Authors
Defence R&D Canada - Ottawa, Ottawa ONT (CAN)
Abstract
The continuous-discrete filtering problem requires the solution of a partial differential equation known as the Fokker-Planck-Kolmogorov forward equation (FPKfe). In this report, 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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Report Number
DRDC-OTTAWA-TM-2008-343 — Technical Memorandum
Date of publication
01 Mar 2009
Number of Pages
74
DSTKIM No
CA032272
CANDIS No
531364
Format(s):
CD ROM

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