41 citations · 88 across the 7 of their papers we have counts for
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math.PR2021★ 1 cited
Distributionally Robust Martingale Optimal Transport
Zhengqing Zhou, Jose Blanchet, Peter W. Glynn
We study the problem of bounding path-dependent expectations (within any finite time horizon ) over the class of discrete-time martingales whose marginal distributions lie withi…
stat.CO2021★ 2 cited
Unbiased Optimal Stopping via the MUSE
Zhengqing Zhou, Guanyang Wang, Jose Blanchet +1
We propose a new unbiased estimator for estimating the utility of the optimal stopping problem. The MUSE, short for Multilevel Unbiased Stopping Estimator, constructs the unbiased…