A summary of the relationship between the Langevin equation,
Fokker-Planck-Kolmogorov forward equation (FPKfe) and the Feynman path integral
descriptions of stochastic processes relevant for the solution of the
continuous-discrete filtering problem is provided in this paper. The practical
utility of the path integral formula is demonstrated via some nontrivial
examples. Specifically, it is shown that the simplest approximation of the path
integral formula for the fundamental solution of the FPKfe can be applied to
solve nonlinear continuous-discrete filtering problems quite accurately. The
Dirac-Feynman path integral filtering algorithm is quite simple, and is
suitable for real-time implementation.Comment: 35 pages, 18 figures, JHEP3 clas
