73 citations · 139 across the 27 of their papers we have counts for
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math.PR2018
The density evolution of the killed Mckean-Vlasov process
Peter E. Caines, Daniel Ho, Qingshuo Song
The study of the density evolution naturally arises in Mean Field Game theory for the estimation of the density of the large population dynamics. In this paper, we study the densit…
stat.CO2018★ 3 cited
Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution
Jaehyuk Choi, Yeda Du, Qingshuo Song
In this study, a numerical quadrature for the generalized inverse Gaussian distribution is derived from the Gauss-Hermite quadrature by exploiting its relationship with the normal…
math.PR2018
Exit problem as the generalized solution of Dirichlet problem
Yuecai Han, Qingshuo Song, Gu Wang
This paper investigates sufficient conditions for a Feynman-Kac functional up to an exit time to be the generalized viscosity solution of a Dirichlet problem. The key ingredient is…