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Keywords = Duncan-Mortensen-Zakai (DMZ) Equation

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17 pages, 250 KiB  
Article
Euclidean Quantum Mechanics and Universal Nonlinear Filtering
by Bhashyam Balaji
Entropy 2009, 11(1), 42-58; https://doi.org/10.3390/e11010042 - 12 Feb 2009
Cited by 8 | Viewed by 6968
Abstract
An important problem in applied science is the continuous nonlinear filtering problem, i.e., the estimation of a Langevin state that is observed indirectly. In this paper, it is shown that Euclidean quantum mechanics is closely related to the continuous nonlinear filtering problem. The [...] Read more.
An important problem in applied science is the continuous nonlinear filtering problem, i.e., the estimation of a Langevin state that is observed indirectly. In this paper, it is shown that Euclidean quantum mechanics is closely related to the continuous nonlinear filtering problem. The key is the configuration space Feynman path integral representation of the fundamental solution of a Fokker-Planck type of equation termed the Yau Equation of continuous-continuous filtering. A corollary is the equivalence between nonlinear filtering problem and a time-varying Schr¨odinger equation. Full article
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