On the Feynman-Kac formula and its applications to filtering theory

Karandikar, Rajeeva L. (1987) On the Feynman-Kac formula and its applications to filtering theory Applied Mathematics and Optimization, 16 (1). pp. 263-276. ISSN 0095-4616

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Official URL: http://www.springerlink.com/content/l755882875t52p...

Related URL: http://dx.doi.org/10.1007/BF01442195

Abstract

In this article the Feynman-Kac formula is obtained for a Markov process (X t) whose transition probability function is not stationary. A converse to the Feynman-Kac formula is also obtained. This is used to prove the uniqueness of the solution to a measure-valued equation satisfied by the optimal filter in the white-noise approach to nonlinear filtering theory.

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