2 citations · 2 across the 6 of their papers we have counts for
Showing 2021Show all
3 papers · 1 filter
cs.RO2021
Kernel-based diffusion approximated Markov decision processes for autonomous navigation and control on unstructured terrains
Junhong Xu, Kai Yin, Zheng Chen +3
We propose a diffusion approximation method to the continuous-state Markov Decision Processes (MDPs) that can be utilized to address autonomous navigation and control in unstructur…
stat.AP2021
Bayesian Uncertainty Quantification of Local Volatility Model
Kai Yin, Anirban Mondal
Local volatility is an important quantity in option pricing, portfolio hedging, and risk management. It is not directly observable from the market; hence calibrations of local vola…
stat.CO2021
A Two Stage Adaptive Metropolis Algorithm
Anirban Mondal, Kai Yin, Abhijit Mandal
We propose a new sampling algorithm combining two quite powerful ideas in the Markov chain Monte Carlo literature -- adaptive Metropolis sampler and two-stage Metropolis-Hastings s…