From the 1 of 5 linked papers with an AI index.
5 papers
Continuous Policy and Value Iteration for Stochastic Control Problems and Its Convergence
Qi Feng, Gu Wang
The paper proposes a continuous policy‑value iteration method that uses Langevin‑type dynamics to update both the value function and the optimal control for stochastic control prob…
Noise estimation of SDE from a single data trajectory
Munawar Ali, Purba Das, Qi Feng +2
In this paper, we propose a data-driven framework for model discovery of stochastic differential equations (SDEs) from a single trajectory, without requiring the ergodicity or stat…
Data-driven Feynman-Kac Discovery with Applications to Prediction and Data Generation
Qi Feng, Guang Lin, Purav Matlia +1
In this paper, we propose a novel data-driven framework for discovering probabilistic laws underlying the Feynman-Kac formula. Specifically, we introduce the first stochastic SINDy…
Branched Signature Model
Munawar Ali, Qi Feng
In this paper, we introduce the branched signature model, motivated by the branched rough path framework of [Gubinelli, Journal of Differential Equations, 248(4), 2010], which gene…
Superpositions for General Conditional Mckean-Vlasov Stochastic Differential Equations
Qi Feng, Jin Ma
In this paper, we study the connection between a general class of Conditional Mckean-Vlasov Stochastic Differential Equations (CMVSDEs) and its corresponding (infinite dimensional)…