
Accession Number : ADA186014
Title : On the FeynmanKAC's Formula and Its Applications to Filtering Theory.
Descriptive Note : Technical rept. 30 Sep 8530 Sep 86,
Corporate Author : NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES
Personal Author(s) : Karandikar, Rajeeva L
PDF Url : ADA186014
Report Date : Oct 1986
Pagination or Media Count : 25
Abstract : Let (x(t)) be a Markov process, not assumed to be time homogenous. It is well known that (s(t)bar) = (t, X(t)) is a time homogeneous Markov process. Let A be its generator. The FeynmanKac's formula for x(t) takes the following form if the equation: (1,1) Av + cv = 0 admits a solution v, then v has the representation, for s t: (1.2) v(s,Xs) = E v(t,Xt) exp(integral(stat) c(u,Xu)du) sigma(Xs). We prove this under general conditions on (Xt) .
Descriptors : *MARKOV PROCESSES, *MATHEMATICAL FILTERS, HOMOGENEITY, THEORY, TIME STUDIES, NONLINEAR ANALYSIS
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE