Continuous-Discrete Path Integral Filtering

Abstract

A summary of the relationship between the Langevin equation, Fokker-Planck-Kolmogorov forward equation (FPKfe) and the Feynman path integral descriptions of stochastic processes relevant for the solution of the continuous-discrete filtering problem is provided in this paper. The practical utility of the path integral formula is demonstrated via some nontrivial examples. Specifically, it is shown that the simplest approximation of the path integral formula for the fundamental solution of the FPKfe can be applied to solve nonlinear continuous-discrete filtering problems quite accurately. The Dirac-Feynman path integral filtering algorithm is quite simple, and is suitable for real-time implementation.

Keywords

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