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Proceedings Paper

Feynman path integral discretization and its applications to nonlinear filtering
Author(s): Bhashyam Balaji
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Paper Abstract

In continuous nonlinear filtering theory, we are interested in solving certain parabolic second-order partial dif­ ferential equations (PDEs), such as the Fokker-Planck equation. The fundamental solution of such PDEs can be written in various ways, such as the Feynman-Kac integral and the Feynman path integral (FPI). In addition, the FPI can be defined in several ways. In this paper, the FPI definition based on discretization is reviewed. This has the advantage of being rigorously defined as limits of finite-dimensional integrals. The rigorous and non-rigorous approaches are compared in terms of insight and successes in nonlinear filtering as well as other areas in mathematics.

Paper Details

Date Published: 23 May 2013
PDF: 12 pages
Proc. SPIE 8745, Signal Processing, Sensor Fusion, and Target Recognition XXII, 87450N (23 May 2013); doi: 10.1117/12.2017872
Show Author Affiliations
Bhashyam Balaji, Defence Research and Development Canada, Ottawa (Canada)

Published in SPIE Proceedings Vol. 8745:
Signal Processing, Sensor Fusion, and Target Recognition XXII
Ivan Kadar, Editor(s)

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