Universal nonlinear filtering using Feynman path integrals II: the continuous-continuous model with additive noise

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 Gaussian and additive. It is shown that it leads to an independent and self-contained analysis and solution of the problem. A consequence of this analysis is the configuration space Feynman path integral formula for the conditional probability density that manifests the underlying physics of the problem. A corollary of the path integral formula is the Yau algorithm that has been shown to have excellent numerical properties. The Feynman path integral formulation is shown to lead to practical and implementable algorithms. In particular, the solution of the Yau partial differential equation is reduced to one of function computation and integration. PACS Codes: 02.50.Ey, 02.50.Fz, 05.10.Gg, 89.90.+n, 93E10, 93E11