4 papers
Dynamic mean-variance portfolio selection with no-shorting constraints and unknown investment opportunity sets
Xun Li, Yutian Wang, Xun Yu Zhou
We study continuous-time mean-variance portfolio selection with no-shorting constraints and unknown investment opportunity sets from a reinforcement learning (RL) perspective. The…
An Optimization-Based Framework for Solving Forward-Backward Stochastic Differential Equations: Convergence Analysis and Error Bounds
Yutian Wang, Yuan-Hua Ni, Xun Li
Forward-backward stochastic differential equations have recently become a key focus in the computational field, and their role in continuous-time stochastic optimal control and rei…
Solving Coupled Nonlinear Forward-backward Stochastic Differential Equations: An Optimization Perspective with Backward Measurability Loss
Yutian Wang, Yuan-Hua Ni, Xun Li
This paper aims to extend the BML method proposed in Wang et al. [22] to make it applicable to more general coupled nonlinear FBSDEs. We interpret BML from the fixed-point iteratio…
A United Image Force for Deformable Models and Direct Transforming Geometric Active Contorus to Snakes by Level Sets
Hongyu Lu, Yutian Wang, Shanglian Bao
A uniform distribution of the image force field around the object fasts the convergence speed of the segmentation process. However, to achieve this aim, it causes the force constru…