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math.OC2024
The generator gradient estimator is an adjoint state method for stochastic differential equations
Quentin Badolle, Ankit Gupta, Mustafa Khammash
Motivated by the increasing popularity of overparameterized Stochastic Differential Equations (SDEs) like Neural SDEs, Wang, Blanchet and Glynn recently introduced the generator gr…
math.OC2023
Effective filtering approach for joint parameter-state estimation in SDEs via Rao-Blackwellization and modularization
Zhou Fang, Ankit Gupta, Mustafa Khammash
Stochastic filtering is a vibrant area of research in both control theory and statistics, with broad applications in many scientific fields. Despite its extensive historical develo…