Continuous-discrete path integral filtering

DOI10.3390/e110300402zbMath1179.35329arXiv0810.0198MaRDI QIDQ845417

Bhashyam Balaji

Publication date: 29 January 2010

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.0198

zbMATH Keywords

tracking; Fokker-Planck equation; nonlinear filtering; Kolmogorov equation; data assimilation; Feynman path integrals; continuousdiscrete filters; Dirac-Feynman approximation; path integral filtering; universal nonlinear filtering

Mathematics Subject Classification ID

35Q84: Fokker-Planck equations

Related Items

Generalised filtering, Recovering default risk from CDS spreads with a nonlinear filter

Uses Software

• TensorToolbox
• Algorithm 862

Cites Work

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