3 citations · 6 across the 4 of their papers we have counts for
5 papers
Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
Y. Zhang, Z. Jin, J. Wei +1
In this paper, we study closed-loop equilibrium strategies for mean-variance portfolio selection problem in a hidden Markov model with dynamic attention behavior. In addition to th…
Stochastic epidemic SIR models with hidden states
Nguyen Du, Alexandru Hening, Nhu Nguyen +1
This paper focuses on and analyzes realistic SIR models that take stochasticity into account. The proposed systems are applicable to most incidence rates that are used in the liter…
Stochastic Approximation with Discontinuous Dynamics, Differential Inclusions, and Applications
Nhu Nguyen, George Yin
This work develops new results for stochastic approximation algorithms. The emphases are on treating algorithms and limits with discontinuities. The main ingredients include the us…
Stochastic Lotka-Volterra Competitive Reaction-Diffusion Systems Perturbed by Space-Time White Noise: Modeling and Analysis
N. N. Nguyen, G. Yin
Motivated by the traditional Lotka-Volterra competitive models, this paper proposes and analyzes a class of stochastic reaction-diffusion partial differential equations. In contras…
Multi-kernel Passive Stochastic Gradient Algorithms and Transfer Learning
Vikram Krishnamurthy, George Yin
This paper develops a novel passive stochastic gradient algorithm. In passive stochastic approximation, the stochastic gradient algorithm does not have control over the location wh…