49 citations · 150 across the 15 of their papers we have counts for
4 papers · 1 filter
Well-posedness and Finite Element Approximations for Elliptic SPDEs with Gaussian Noises
Yanzhao Cao, Jialin Hong, Zhihui Liu
The paper studies the well-posedness and optimal error estimates of spectral finite element approximations for the boundary value problems of semi-linear elliptic SPDEs driven by w…
Forward Backward Doubly Stochastic Differential Equations and the Optimal Filtering of Diffusion Processes
Feng Bao, Yanzhao Cao, Xiaoping Han
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions…
An Efficient Meshfreee Implicit Filter for Nonlinear Filtering Problems
Feng Bao, Yanzhao Cao, Clayton Webster +1
In this paper, we propose a meshfree approximation method for the implicit filter developed in [2], which is a novel numerical algorithm for nonlinear filtering problems. The impli…
Finite element approximations for second order stochastic differential equation driven by fractional Brownian motion
Yanzhao Cao, Jialin Hong, Zhihui Liu
We consider finite element approximations for a one dimensional second order stochastic differential equation of boundary value type driven by a fractional Brownian motion with Hur…