Continuous-discrete path integral filtering

DOI10.3390/e110300402zbMath1179.35329arXiv0810.0198OpenAlexW2019192491MaRDI 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

trackingFokker-Planck equationnonlinear filteringKolmogorov equationdata assimilationFeynman path integralscontinuousdiscrete filtersDirac-Feynman approximationpath integral filteringuniversal nonlinear filtering

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84)

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Uses Software

• TensorToolbox
• Algorithm 862

Cites Work

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• A survey of numerical methods for nonlinear filtering problems
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• Algorithm 862
• Functional integral for parabolic differential equations
• Exact finite-dimensional nonlinear filters
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• A survey of convergence results on particle filtering methods for practitioners
• Spectral Methods