output
20092026
most citedThe short-term effect of COVID-19 pandemic on China's crude oil futures market: A study based on multifractal analysis

20 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing math.OCShow all

3 papers · 1 filter

math.OC2021★ 2 cited

Robust Consumption Portfolio Optimization with Stochastic Differential Utility

Jiangyan Pu, Qi Zhang

This paper examines a continuous time intertemporal consumption and portfolio choice problem with a stochastic differential utility preference of Epstein-Zin type for a robust inve…

math.OC2019★ 1 cited

Decentralized Approximate Newton Methods for Convex Optimization on Networked Systems

Hejie Wei, Zhihai Qu, Xuyang Wu +2

In this paper, a class of Decentralized Approximate Newton (DEAN) methods for addressing convex optimization on a networked system are developed, where nodes in the networked syste…

math.OC2015

Dynamic Programming Principle and Associated Hamilton-Jacobi-Bellman Equation for Stochastic Recursive Control Problem with Non-Lipschitz Aggregator

Jiangyan Pu, Qi Zhang

In this work we study the stochastic recursive control problem, in which the aggregator (or called generator) of the backward stochastic differential equation describing the runnin…