2 citations · 2 across the 2 of their papers we have counts for
4 papers
Optimal Switching Problems under Partial Information
Kai Li, Kaj Nyström, Marcus Olofsson
In this paper we formulate and study an optimal switching problem under partial information. In our model the agent/manager/investor attempts to maximize the expected reward by swi…
A central limit type theorem for Gaussian mixture approximations to the nonlinear filtering problem
Dan Crisan, Kai Li
Approximating the solution of the nonlinear filtering problem with Gaussian mixtures has been a very popular method since the 1970s. However, the vast majority of such approximatio…
Generalised Particle Filters with Gaussian Mixtures
Dan Crisan, Kai Li
Stochastic filtering is defined as the estimation of a partially observed dynamical system. A massive scientific and computational effort is dedicated to the development of numeric…
Numerical Solutions of Jump Diffusions with Markovian Switching
Jun Ye, Kai Li
In this paper we consider the numerical solutions for a class of jump diffusions with Markovian switching. After briefly reviewing necessary notions, a new jump-adapted efficient a…