Nonlinear filtering and quantum physics – A Feynman path integral perspective

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Authors
  1. Balaji, B.
Corporate Authors
Defence R&D Canada - Ottawa, Ottawa ONT (CAN)
Abstract
In this report, it is shown that Euclidean quantum mechanics is closely related to the continuous nonlinear filtering problem. The key is the configuration space Feynman path integral representation of the fundamental solution of a Fokker-Planck type of equation termed the Yau Equation of continuous-continuous filtering. A corollary is the equivalence between nonlinear filtering problem and a time-varying Schrödinger equation previously pointed out by S-T. Yau and Stephen Yau. The path integral formulation is shown to lead to a better conceptual understanding of the origin of this relationship.

Il y a un résumé en français ici.

Report Number
DRDC-OTTAWA-TM-2009-196 — Technical Memorandum
Date of publication
01 Nov 2009
Number of Pages
52
DSTKIM No
CA033505
CANDIS No
532795
Format(s):
Electronic Document(PDF)

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