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Chapmann-Kolmogorov formula

  1. Jun 20, 2006 #1
    Hello..where i could find information about the Chapmann-Kolmogorov formula for continous probability..i have hear something when taking a course of QM...something about this...if you want to go from A point to B point with a certain probability crossing a point C then:

    [tex] P(A,B)=P(A,C)P(B,C) [/tex]

    My question is what is the Integral or differential formulation of this law?..considering we know all the probability distributions..thanks.
     
  2. jcsd
  3. Jul 20, 2006 #2
    the Chapman-Kolmogorov equation
    [tex]p(\mathbf{x}_{k}|\mathbf{z}_{1:k-1})= \int
    p(\mathbf{x}_{k}|\mathbf{x}_{k-1})p(\mathbf{x}_{k-1}|\mathbf{z}_{1:k-1})d\mathbf{x}_{k-1}[/tex]


    as an example, from "A Tutorial on Particle Filters for On-line Non-linear/Non-Gaussian Bayesian Tracking (2001)"
     
    Last edited: Jul 20, 2006
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