18 citations · 39 across the 16 of their papers we have counts for
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math.NA2021★ 1 cited
A Drift Homotopy Implicit Particle Filter Method for Nonlinear Filtering problems
Xin Li, Feng Bao, Kyle Gallivan
In this paper, we develop a drift homotopy implicit particle filter method. The methodology of our approach is to adopt the concept of drift homotopy in the resampling procedure of…
math.OC2021
Meshfree Approximation for Stochastic Optimal Control Problems
Hui Sun, Feng Bao
In this work, we study the gradient projection method for solving a class of stochastic control problems by using a mesh free approximation approach to implement spatial dimension…
math.NA2021★ 1 cited
Solving Backward Doubly Stochastic Differential Equations through Splitting Schemes
Feng Bao, Yanzhao Cao, He Zhang
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backwa…