Hamilton-Jacobi-Bellman equations 1optimal control 1resource allocation 1stochastic processes 1survival analysis 1
From the 1 of 3 linked papers with an AI index.
3 papers
math.OC2026
Optimal resource allocation for maintaining system solvency
Gaoyue Guo, Wenpin Tang, Nizar Touzi
The paper studies how to allocate a limited resource among independent Brownian agents to maximize either the probability that all agents avoid ruin or the expected number of agent…
stat.ME2025
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…
math.OC2025
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…