On the Feynman-Kac formula and its applications to filtering theory

DOI10.1007/BF01442195zbMath0636.60042OpenAlexW1967442275MaRDI QIDQ1098162

Rajeeva L. Karandikar

Publication date: 1987

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01442195

zbMATH Keywords

Feynman-Kac formulanonlinear filtering problemsDual and converse formulas to the Feynman-Kac formula

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Transition functions, generators and resolvents (60J35) Stochastic integral equations (60H20) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (1)

Evolution equations for Markov processes: Application to the white-noise theory of filtering

Cites Work

• Unnamed Item
• White noise calculus and nonlinear filtering theory
• Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory

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