2 papers
math.ST2019
Spatial localization for nonlinear dynamical stochastic models for excitable media
Nan Chen, Andrew J. Majda, Xin T. Tong
Nonlinear dynamical stochastic models are ubiquitous in different areas. Excitable media models are typical examples with large state dimensions. Their statistical properties are o…
math.OC2014
Optimal double stopping of a Brownian bridge
Erik J. Baurdoux, Nan Chen, Budhi A. Surya +1
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We s…