5 citations · 17 across the 12 of their papers we have counts for
12 papers
End-to-End PDE-Based Quantum Algorithms for Multi-Asset Option Pricing under Local and Stochastic Volatility
Nikita Guseynov, Nana Liu, Chi Seng Pun +1
Multi-asset option pricing under local- and stochastic-volatility models leads naturally to high-dimensional parabolic PDEs. We develop an end-to-end quantum PDE framework for Euro…
A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations
Qian Lei, Chi Seng Pun
In this paper, we establish existence, uniqueness, and regularity properties of the solutions to multi-dimensional backward stochastic Volterra integral equations (BSVIEs), whose (…
Dynamic Mean-Variance Asset Allocation in General Incomplete Markets A Nonlocal BSDE-based Feedback Control Approach
Qian Lei, Chi Seng Pun, Jingxiang Tang
This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our…
Quantum Algorithms for the Pathwise Lasso
Joao F. Doriguello, Debbie Lim, Chi Seng Pun +2
We present a novel quantum high-dimensional linear regression algorithm with an -penalty based on the classical LARS (Least Angle Regression) pathwise algorithm. Similarly…
On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type
Qian Lei, Chi Seng Pun
This paper studies the well-posedness of a class of nonlocal parabolic partial differential equations (PDEs), or equivalently equilibrium Hamilton-Jacobi-Bellman equations, which h…
Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach
Bingyan Han, Chi Seng Pun, Hoi Ying Wong
This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we deriv…
Quasilinearization Methods for Nonlocal Fully-Nonlinear Parabolic Systems
Qian Lei, Chi Seng Pun
In this paper, we propose quasilinearization methods that convert nonlocal fully-nonlinear parabolic systems into the nonlocal quasilinear parabolic systems. The nonlocal parabolic…
Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games
Qian Lei, Chi Seng Pun
This paper proves the existence and uniqueness results (in the sense of maximally defined regularity) as well as the stability analysis for the solutions to a class of nonlocal ful…
A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-inconsistent Problems
Nixie S. Lesmana, Chi Seng Pun
In this paper, we establish a subgame perfect equilibrium reinforcement learning (SPERL) framework for time-inconsistent (TIC) problems. In the context of RL, TIC problems are know…
Nonlocal Fully Nonlinear Parabolic Differential Equations Arising in Time-Inconsistent Problems
Qian Lei, Chi Seng Pun
We prove the well-posedness results, i.e. existence, uniqueness, and stability, of the solutions to a class of nonlocal fully nonlinear parabolic partial differential equations (PD…
Efficient Social Distancing for COVID-19: An Integration of Economic Health and Public Health
Kexin Chen, Chi Seng Pun, Hoi Ying Wong
Social distancing has been the only effective way to contain the spread of an infectious disease prior to the availability of the pharmaceutical treatment. It can lower the infecti…
Persistent-Homology-based Machine Learning and its Applications -- A Survey
Chi Seng Pun, Kelin Xia, Si Xian Lee
A suitable feature representation that can both preserve the data intrinsic information and reduce data complexity and dimensionality is key to the performance of machine learning…