Accession Number : ADA186014

Title :   On the Feynman-KAC's Formula and Its Applications to Filtering Theory.

Descriptive Note : Technical rept. 30 Sep 85-30 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 Feynman-Kac'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