5 citations · 15 across the 11 of their papers we have counts for
11 papers
Thermodynamic work and heat for a quantum process: Approach by Hamiltonian decomposition
Tao Zhou, Jiangyang Pu, Xiaohua Wu
The separation of internal energy into heat and work in quantum thermodynamics is a controversial issue for a long time, and we revisit and solve this problem in this work. It is s…
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…
Nowcasting Networks
Marc Chataigner, Stephane Crepey, Jiang Pu
We devise a neural network based compression/completion methodology for financial nowcasting. The latter is meant in a broad sense encompassing completion of gridded values, interp…
Accelerated Share Repurchase and other buyback programs: what neural networks can bring
Olivier Guéant, Iuliia Manziuk, Jiang Pu
When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks…
Mid-price estimation for European corporate bonds: a particle filtering approach
Olivier Guéant, Jiang Pu
In most illiquid markets, there is no obvious proxy for the market price of an asset. The European corporate bond market is an archetypal example of such an illiquid market where m…
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
Alexis Bismuth, Olivier Guéant, Jiang Pu
This paper presents several models addressing optimal portfolio choice, optimal portfolio liquidation, and optimal portfolio transition issues, in which the expected returns of ris…