17 citations · 18 across the 6 of their papers we have counts for
6 papers
Glivenko--Cantelli Theorems for Integrated Volatility Functionals in Pure-Jump Semimartingales with an Application to Cryptocurrency Markets
Dachuan Chen, Jia Li, Tian Xie +1
We develop a two-step procedure for estimating integrated volatility functionals, defined through the occupation measure of the latent spot volatility process, when the asset price…
Nonparametric inference for spot volatility in pure-jump semimartingales
Chengxin Yan, Dachuan Chen, Jia Li
We provide a comprehensive analysis of spot volatility inference in pure-jump semimartingales under two asymptotic settings: fixed-, where each local window uses a fixed number…
WGSR-Bench: Wargame-based Game-theoretic Strategic Reasoning Benchmark for Large Language Models
Qiyue Yin, Pei Xu, Qiaozhe Li +15
Recent breakthroughs in Large Language Models (LLMs) have led to a qualitative leap in artificial intelligence' s performance on reasoning tasks, particularly demonstrating remarka…
An Optimal-Control Approach to Infinite-Horizon Restless Bandits: Achieving Asymptotic Optimality with Minimal Assumptions
Chen YAN
We adopt an optimal-control framework for addressing the undiscounted infinite-horizon discrete-time restless -armed bandit problem. Unlike most studies that rely on constructin…
LP-based policies for restless bandits: necessary and sufficient conditions for (exponentially fast) asymptotic optimality
Nicolas Gast, Bruno Gaujal, Chen Yan
We provide a framework to analyse control policies for the restless Markovian bandit model, under both finite and infinite time horizon. We show that when the population of arms go…
Exponential Convergence Rate for the Asymptotic Optimality of Whittle Index Policy
Nicolas Gast, Bruno Gaujal, Chen Yan
We evaluate the performance of Whittle index policy for restless Markovian bandits, when the number of bandits grows. It is proven in [30] that this performance is asymptotically o…