3 citations · 4 across the 5 of their papers we have counts for
12 papers
Exploratory HJB equations and their convergence
Wenpin Tang, Paul Yuming Zhang, Xun Yu Zhou
We study the exploratory Hamilton--Jacobi--Bellman (HJB) equation arising from the entropy-regularized exploratory control problem, which was formulated by Wang, Zariphopoulou and…
Hidden symmetries and limit laws in the extreme order statistics of the Laplace random walk
Jim Pitman, Wenpin Tang
This paper is concerned with the limit laws of the extreme order statistics derived from a symmetric Laplace walk. We provide two different descriptions of the point process of the…
Asset Selection via Correlation Blockmodel Clustering
Wenpin Tang, Xiao Xu, Xun Yu Zhou
We aim to cluster financial assets in order to identify a small set of stocks to approximate the level of diversification of the whole universe of stocks. We develop a data-driven…
Simulated annealing from continuum to discretization: a convergence analysis via the Eyring--Kramers law
Wenpin Tang, Xun Yu Zhou
We study the convergence rate of continuous-time simulated annealing and its discretization for approximating the global optimum of a…
Learning an arbitrary mixture of two multinomial logits
Wenpin Tang
In this paper, we consider mixtures of multinomial logistic models (MNL), which are known to -approximate any random utility model. Despite its long history and broad use, rigor…
Arcsine laws for random walks generated from random permutations with applications to genomics
Xiao Fang, Han Liang Gan, Susan Holmes +4
A classical result for the simple symmetric random walk with steps is that the number of steps above the origin, the time of the last visit to the origin, and the time of the…