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In this paper, the Feynman path integral formulation of the continuous-continuous filtering problem, a fundamental problem of applied science, is investigated for the case when the noise in the signal and measurement model is additive. It…
Nonlinear filter has long been an important problem in practical industrial applications. The Yau-Yau method is a highly versatile framework that transforms nonlinear filtering problems into initial-value problems governed by the Forward…
A summary of the relationship between the Langevin equation, Fokker-Planck-Kolmogorov forward equation (FPKfe) and the Feynman path integral descriptions of stochastic processes relevant for the solution of the continuous-discrete filtering…
The continuous-discrete filtering problem requires the solution of a partial differential equation known as the Fokker-Planck-Kolmogorov forward equation (FPKfe). In this paper, the path integral formula for the fundamental solution of the…
We study an approximation method for the one-dimensional nonlinear filtering problem, with discrete time and continuous time observation. We first present the method applied to the Fokker-Planck equation. The convergence of the…
Feynman's path integral approach is studied in the framework of the Wigner-Dunkl deformation of quantum mechanics. We start with reviewing some basics from Dunkl theory and investigate the time evolution of a Gaussian wave packet, which…
In this paper we discuss fractional generalizations of the filtering problem. The "fractional" nature comes from time-changed state or observation processes, basic ingredients of the filtering problem. The mathematical feature of the…
It has long been recognized that the dynamics of linear quantum systems is classical in the Wigner representation. Yet many conceptually important linear problems are typically analyzed using such generally applicable techniques as…
Nonlinear filtering is a pivotal problem that has attracted significant attention from mathematicians, statisticians, engineers, and various other scientific disciplines. The solution to this problem is governed by the so-called filtering…
We consider Feynman's path integral approach to quantum mechanics with a noncommutativity in position and momentum sectors of the phase space. We show that a quantum-mechanical system with this kind of noncommutativity is equivalent to the…
The continuous-discrete filtering problem requires the solution of a partial differential equation known as the Fokker-Planck-Kolmogorov forward equation (FPKfe). In this paper, it is pointed out that for a state model with an affine,…
For quantum computers to become useful tools to physicists, engineers and computational scientists, quantum algorithms for solving nonlinear differential equations need to be developed. Despite recent advances, the quest for a solver that…
Starting from our idea of combining the Feynman path integral spirit and the Dyson series kernel, we find an explicit and general form of time evolution operator that is a $c$-number function and a power series of perturbation including all…
We prove the existence and uniqueness of strong solutions to the equation $u u_x - u_{yy} = f$ in the vicinity of the linear shear flow, subject to perturbations of the source term and lateral boundary conditions. Since the solutions we…
Feynman's path integral is generalized to quantum mechanics on p-adic space and time. Such p-adic path integral is analytically evaluated for quadratic Lagrangians. Obtained result has the same form as that one in ordinary quantum…
Given an arbitrary Lagrangian function on \RR^d and a choice of classical path, one can try to define Feynman's path integral supported near the classical path as a formal power series parameterized by "Feynman diagrams," although these…
The exact solution of the Cauchy problem for a generalized "linear" vectorial Fokker-Planck equation is found using the disentangling techniques of R. Feynman and algebraic (operational) methods. This approach may be considered as a…
A discussion is given of the quantisation of a physical system with finite degrees of freedom subject to a Hamiltonian constraint by treating time as a constrained classical variable interacting with an unconstrained quantum state. This…
These notes were inspired by the course ''Quantum Field Theory from a Functional Integral Point of View'' given at the University of Zurich in Spring 2017 by Santosh Kandel. We describe Feynman's path integral approach to quantum mechanics…
At the beginning of this century, a real time solution of the nonlinear filtering problem without memory was proposed in [1, 2] by the third author and his collaborator, and it is later on referred to as Yau-Yau algorithm. During the last…