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Supersymmetry and nonlinear filtering: Feynman path integral perspective

The continuous-time nonlinear filtering problem involves the solution of a partial differential equation. In a recent paper, it was shown that supersymmetry enables one to obtain the exact fundamental solution of such PDEs using operator methods. In this paper, Feynman path integral methods are utilized. It is shown that such methods enable one to study higher dimensional nonlinear filtering problems more elegantly and systematically.