Euclidean Quantum Mechanics and Universal Nonlinear Filtering

Details Euclidean Quantum Mechanics and Universal Nonlinear Filtering Euclidean Quantum Mechanics and Universal Nonlinear Filtering

2008-09-25

arxiv.org/abs/0809.4408v1

Physics

Mathematical Physics

19 pages, LaTeX, interdisciplinary

Scientific paper

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.

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