There is a mathematically rich theory about sequential Monte Carlo filters, and the central tool to make that go seems to be Feynman-Kac formulae.
Related, apparently: Backward SDEs and the Fokker-Planck equation.
1 Use in SMC
In my field, when we see Feynman-Kac the default assumption is that it is providing a central limit theorem for sequential Monte Carlo. The notoriously abstruse Del Moral (2004) and Doucet, Freitas, and Gordon (2001) are commonly regarded as the canonical introductions to that usage. I will get around to understanding them myself eventually, maybe?
Cheng and Reich (2014) translates the Del Moral (French probabilist?) terminology into my more workaday statistician’s language.
2 Incoming
https://www.perplexity.ai/search/ok-i-want-to-understand-the-fe-9bK5j2N8QYGknpInAZ3YnQ ## References
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