PROJECT TITLE :
The continuous-discrete filtering downside needs the solution of a partial differential equation known as the Fokker-Planck-Kolmogorov forward equation (FPKfe). The path integral formula for the basic resolution of the FPKfe is derived and verified for the final additive noise case (i.e., explicitly time-dependent state model and with state-independent rectangular diffusion vielbein). The solution is universal in the sense that the initial distribution could be arbitrary. The practical utility is demonstrated via some examples.
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