Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods

DOI10.1088/1742-5468/2008/01/P01014zbMath1456.82758MaRDI QIDQ5239421

Bhashyam Balaji

Publication date: 22 October 2019

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

zbMATH Keywords

stochastic processesnonlinear dynamicsnew applications of statistical mechanics

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Uses Software

• TensorToolbox
• Algorithm 862

Cites Work

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• Finite dimensional filters with nonlinear drift. XI: Explicit solution of the generalized Kolmogorov equation in Brockett-Mitter program
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• Stochastic processes and filtering theory
• Algorithm 862
• Efficient MATLAB Computations with Sparse and Factored Tensors
• On a multiplicative functional transformation arising in nonlinear filtering theory
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Explicit solution of DMZ equation in nonlinear filtering via solution of ODEs
• Spectral Methods
• On the optimal filtering of diffusion processes
• Solution of Filtering Problem with Nonlinear Observations
• Real time solution of nonlinear filtering problem without memory. I

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