5 citations · 6 across the 3 of their papers we have counts for
3 papers
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…
math.NA2018★ 1 cited
Markov chain Simulation for Multilevel Monte Carlo
Ajay Jasra, Kody Law, Yaxian Xu
This paper considers a new approach to using Markov chain Monte Carlo (MCMC) in contexts where one may adopt multilevel (ML) Monte Carlo. The underlying problem is to approximate e…
math.NA2018
Multi-Index Sequential Monte Carlo Methods for partially observed Stochastic Partial Differential Equations
Yaxian Xu, Ajay Jasra, Kody J. H. Law
In this paper we consider sequential joint state and static parameter estimation given discrete time observations associated to a partially observed stochastic partial differential…