44 citations · 187 across the 43 of their papers we have counts for
46 papers
The occupation time of a random walk generated by the uniform random permutation--a GPT-6 Astra proof
Wenpin Tang
This note provide a proof of Conjecture 2.5 in Fang et al. (J. Appl. Probab., 58(4):851--867, 2021), with the help of \texttt{GPT-6 Astra}. We show that the number of edges lying a…
Optimal resource allocation for maintaining system solvency
Gaoyue Guo, Wenpin Tang, Nizar Touzi
We study two optimal allocation problems for a system of independent Brownian agents whose states evolve under a limited shared control. At each time, a unit of resource can be div…
Transaction fee mechanism for Proof-of-Stake protocol
Wenpin Tang, David D. Yao
We study a mechanism design problem in the blockchain proof-of-stake (PoS) protocol. Our main objective is to extend the transaction fee mechanism (TFM) recently proposed in Chung…
Trading and wealth evolution in the Proof of Stake protocol
Wenpin Tang
With the increasing adoption of the Proof of Stake (PoS) blockchain, it is timely to study the economy created by such blockchain. In this chapter, we will survey recent progress o…
Finite and infinite weighted exchangeable sequences
Wenpin Tang
Motivated by recent interests in predictive inference under distribution shift, we study the problem of approximating finite weighted exchangeable sequences by a mixture of finite…
Policy Optimization for Continuous Reinforcement Learning
Hanyang Zhao, Wenpin Tang, David D. Yao
We study reinforcement learning (RL) in the setting of continuous time and space, for an infinite horizon with a discounted objective and the underlying dynamics driven by a stocha…
The convergence rate of vanishing viscosity approximations for mean field games
Wenpin Tang, Yuming Paul Zhang
Motivated by numerical challenges in first-order mean field games (MFGs) and the weak noise theory for the Kardar-Parisi-Zhang equation, we consider the problem of vanishing viscos…
Bayesian Geostatistics Using Predictive Stacking
Lu Zhang, Wenpin Tang, Sudipto Banerjee
We develop Bayesian predictive stacking for geostatistical models, where the primary inferential objective is to provide inference on the latent spatial random field and conduct sp…
Policy iteration for the deterministic control problems -- a viscosity approach
Wenpin Tang, Hung Vinh Tran, Yuming Paul Zhang
This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due…
Systemic robustness: a mean-field particle system approach
Erhan Bayraktar, Gaoyue Guo, Wenpin Tang +1
This paper is concerned with the problem of budget control in a large particle system modeled by stochastic differential equations involving hitting times, which arises from consid…
Trading under the Proof-of-Stake Protocol -- a Continuous-Time Control Approach
Wenpin Tang, David D. Yao
We develop a continuous-time control approach to optimal trading in a Proof-of-Stake (PoS) blockchain, formulated as a consumption-investment problem that aims to strike the optima…
Stability of shares in the Proof of Stake Protocol -- Concentration and Phase Transitions
Wenpin Tang
This paper is concerned with the stability of shares in a cryptocurrency where the new coins are issued according to the Proof of Stake protocol. We identify large, medium and smal…
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…
Inference for Gaussian Processes with Matérn Covariogram on Compact Riemannian Manifolds
Didong Li, Wenpin Tang, Sudipto Banerjee
Gaussian processes are widely employed as versatile modelling and predictive tools in spatial statistics, functional data analysis, computer modelling and diverse applications of m…
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…
Fixed-Domain Asymptotics Under Vecchia's Approximation of Spatial Process Likelihoods
Lu Zhang, Wenpin Tang, Sudipto Banerjee
Statistical modeling for massive spatial data sets has generated a substantial literature on scalable spatial processes based upon Vecchia's approximation. Vecchia's approximation…
McKean-Vlasov equations involving hitting times: blow-ups and global solvability
Erhan Bayraktar, Gaoyue Guo, Wenpin Tang +1
This paper is concerned with the analysis of blow-ups for two McKean-Vlasov equations involving hitting times. Let be standard Brownian motion, and $τ:= \inf\{…
Extreme order statistics of random walks
Jim Pitman, Wenpin Tang
This paper is concerned with the limit theory of the extreme order statistics derived from random walks. We establish the joint convergence of the order statistics near the minimum…
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…
Escaping Saddle Points Efficiently with Occupation-Time-Adapted Perturbations
Xin Guo, Jiequn Han, Mahan Tajrobehkar +1
Motivated by the super-diffusivity of self-repelling random walk, which has roots in statistical physics, this paper develops a new perturbation mechanism for optimization algorith…
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…
The Buckley-Osthus model and the block preferential attachment model: statistical analysis and application
Xin Guo, Fengmin Tang, Wenpin Tang
This paper is concerned with statistical estimation of two preferential attachment models: the Buckley-Osthus model and the hierarchical preferential attachment model. We prove tha…