46 citations · 284 across the 22 of their papers we have counts for
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math.PR2019★ 3 cited
Backward Nonlinear Smoothing Diffusions
Brian D. O. Anderson, Adrian N. Bishop, Pierre Del Moral +1
We present a backward diffusion flow (i.e. a backward-in-time stochastic differential equation) whose marginal distribution at any (earlier) time is equal to the smoothing distribu…
math.OC2019★ 5 cited
A Multilevel Approach for Stochastic Nonlinear Optimal Control
Ajay Jasra, Jeremy Heng, Yaxian Xu +1
We consider a class of finite time horizon nonlinear stochastic optimal control problem, where the control acts additively on the dynamics and the control cost is quadratic. This f…