Cheng Cai

most citedThe optimal sequence for reset controllers

21 citations · 38 across the 5 of their papers we have counts for

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math.PR2021★ 2 cited

On the continuity of optimal stopping surfaces for jump-diffusions

Cheng Cai, Tiziano De Angelis, Jan Palczewski

We show that optimal stopping surfaces $(t, y) \mapsto x_{*} (t, y)$ arising from time-inhomogeneous optimal stopping problems on two-dimensional jump-diffusions $(X, Y)$ are continuous (…

math.PR2021★ 5 cited

A change of variable formula with applications to multi-dimensional optimal stopping problems

Cheng Cai, Tiziano De Angelis

We derive a change of variable formula for $C^{1}$ functions $U : R_{+} \times R^{m} \to R$ whose second order spatial derivatives may explode and not be integrable in the neighbourhood of…