3 citations · 3 across the 7 of their papers we have counts for
5 papers · 1 filter
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…
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…
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)…
Continuous Policy and Value Iteration for Relaxed Stochastic Control Problems and Its Convergence
Qi Feng, Gu Wang
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously…