Faa di Bruno's formula for Gateaux differentials and interacting stochastic population processes
Abstract
The problem of estimating interacting systems of multiple objects is important to a number of different fields of mathematics, physics, and engineering. Drawing from a range of disciplines, including statistical physics, variational calculus, point process theory, and statistical sensor fusion, we develop a unified probabilistic framework for modelling systems of this nature. In order to do this, we derive a new result in variational calculus, Faa di Bruno's formula for Gateaux differentials. Using this result, we derive the Chapman-Kolmogorov equation and Bayes' rule for stochastic population processes with interactions and hierarchies. We illustrate the general approach through case studies in multi-target tracking, branching processes and renormalization.
Cite
@article{arxiv.1202.0264,
title = {Faa di Bruno's formula for Gateaux differentials and interacting stochastic population processes},
author = {Daniel E. Clark and Jeremie Houssineau},
journal= {arXiv preprint arXiv:1202.0264},
year = {2012}
}