On the Feynman-Kac formula and its applications to filtering theory
type: Item
instance of: scholarly article
title: On the Feynman-Kac formula and its applications to filtering theory
zbMATH Open document ID: 0636.60042
DOI: 10.1007/BF01442195
published in: Applied Mathematics and Optimization
publication date: 1987-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 60J35
Mathematics Subject Classification ID: 60G25
Mathematics Subject Classification ID: 60H20
zbMATH DE Number: 4036824
zbMATH Keywords: Feynman-Kac formula
zbMATH Keywords: Dual and converse formulas to the Feynman-Kac formula
zbMATH Keywords: nonlinear filtering problems
author: Rajeeva L. Karandikar
MaRDI profile type: Publication
cites work: Q5662630
cites work: Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory
cites work: White noise calculus and nonlinear filtering theory
full work available at URL: https://doi.org/10.1007/bf01442195
OpenAlex ID: W1967442275
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description: scientific article; zbMATH DE number 4036824