Continuous-Discrete Path Integral Filtering
نویسندگان
چکیده
منابع مشابه
Continuous-Discrete Path Integral Filtering
A summary of the relationship between the Langevin equation, Fokker-PlanckKolmogorov 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 the path integral formula is demonstrated via some nontrivial examples. Specifically, it is shown...
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ژورنال
عنوان ژورنال: Entropy
سال: 2009
ISSN: 1099-4300
DOI: 10.3390/e110300402