On the Feynman-Kac formula and its applications to filtering theory (Q1098162)
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scientific article; zbMATH DE number 4036824
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| English | On the Feynman-Kac formula and its applications to filtering theory |
scientific article; zbMATH DE number 4036824 |
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On the Feynman-Kac formula and its applications to filtering theory (English)
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1987
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The Feynman-Kac formula for Markov processes with nonstationary transition probability function is obtained. Dual and converse formulas to the Feynman-Kac formula are obtained, too. Applications of these formulas to nonlinear filtering problems are considered.
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Feynman-Kac formula
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Dual and converse formulas to the Feynman-Kac formula
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nonlinear filtering problems
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0.8810749
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0.8670219
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0.8670219
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