61 citations · 164 across the 17 of their papers we have counts for
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stat.CO2019★ 11 cited
Schrödinger Bridge Samplers
Espen Bernton, Jeremy Heng, Arnaud Doucet +1
Consider a reference Markov process with initial distribution and transition kernels , for some . Assume that you are given distribut…
math.NA2019★ 1 cited
Multilevel Particle Filters for the Non-Linear Filtering Problem in Continuous Time
Ajay Jasra, Fangyuan Yu, Jeremy Heng
In the following article we consider the numerical approximation of the non-linear filter in continuous-time, where the observations and signal follow diffusion processes. Given ac…
math.OC2019★ 5 cited
A Multilevel Approach for Stochastic Nonlinear Optimal Control
Ajay Jasra, Jeremy Heng, Yaxian Xu +1
We consider a class of finite time horizon nonlinear stochastic optimal control problem, where the control acts additively on the dynamics and the control cost is quadratic. This f…