Zobrazeno 1 - 10
of 491
pro vyhledávání: '"Yang, Shuzhen"'
Autor:
Shi, Jin, Yang, Shuzhen
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control system, the co
Externí odkaz:
http://arxiv.org/abs/2409.02491
Autor:
Yang, Shuzhen, Zhang, Wenqing
In this study, we consider the asset pricing under model uncertainty with finite time and under a family of probability, and explore its relationship with risk neutral probability meastates structure. For the single-period securities model, we give a
Externí odkaz:
http://arxiv.org/abs/2408.13048
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators revealed that mo
Externí odkaz:
http://arxiv.org/abs/2403.12647
Autor:
Yang, Shuzhen, Zhang, Wenqing
In this study, we propose the sublinear expectation structure under finite states space. To describe an interesting "nonlinear randomized" trial, based on a convex closed domain, we introduce a family of probability measures under finite states space
Externí odkaz:
http://arxiv.org/abs/2403.04324
Autor:
Yang, Shuzhen
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an appropriate cost f
Externí odkaz:
http://arxiv.org/abs/2308.03247
Autor:
Wang, Jiaqi, Yang, Shuzhen
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward equation. This
Externí odkaz:
http://arxiv.org/abs/2304.07026
Autor:
Yang, Shuzhen, Zhang, Wenqing
The stochastic volatility inspired (SVI) model is widely used to fit the implied variance smile. Presently, most optimizer algorithms for the SVI model have a strong dependence on the input starting point. In this study, we develop an efficient itera
Externí odkaz:
http://arxiv.org/abs/2301.07830
We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn-Tucker theorem characterizing the optimal consumption plan. An explic
Externí odkaz:
http://arxiv.org/abs/2211.07801
Autor:
Xu, Yuhong, Yang, Shuzhen
This paper investigates the dynamic programming principle for a general stochastic control problem in which the state processes are described by a forward-backward stochastic differential equation (FBSDE). Using the method of S-topology, we show that
Externí odkaz:
http://arxiv.org/abs/2203.14274
Publikováno v:
In Journal of Cereal Science November 2024 120
