18 citations · 39 across the 16 of their papers we have counts for
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math.PR2015★ 1 cited
Forward Backward Doubly Stochastic Differential Equations and the Optimal Filtering of Diffusion Processes
Feng Bao, Yanzhao Cao, Xiaoping Han
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions…
math.NA2015
An Efficient Meshfreee Implicit Filter for Nonlinear Filtering Problems
Feng Bao, Yanzhao Cao, Clayton Webster +1
In this paper, we propose a meshfree approximation method for the implicit filter developed in [2], which is a novel numerical algorithm for nonlinear filtering problems. The impli…