2 citations · 2 across the 1 of their papers we have counts for
2 papers
stat.CO2016★ 2 cited
A Common Derivation for Markov Chain Monte Carlo Algorithms with Tractable and Intractable Targets
Khoa T. Tran
Markov chain Monte Carlo is a class of algorithms for drawing Markovian samples from high-dimensional target densities to approximate the numerical integration associated with comp…
math.OC2007
Expected Utility Optimization - Calculus of Variations Approach
Khoa Tran
In this paper, I'll derive the Hamilton-Jacobi (HJ) equation for Merton's problem in Utility Optimization Theory using a Calculus of Variations (CoV) Approach. For stochastic contr…