1 citations · 1 across the 2 of their papers we have counts for
3 papers
eess.SY2025
On Structural Properties of Risk-Averse Optimal Stopping Problems
Xingyu Ren, Michael C. Fu, Steven I. Marcus
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of…
stat.ME2025
Stochastic Derivative Estimation for Discontinuous Sample Performances: A Leibniz Integration Perspective
Xingyu Ren, Michael C. Fu, Pierre L'Ecuyer
We develop a novel stochastic derivative estimation framework for sample performance functions that are discontinuous in the parameter of interest, based on the multidimensional Le…
stat.ME2025★ 1 cited
Generalizing the Generalized Likelihood Ratio Method Through a Push-Out Leibniz Integration Approach
Xingyu Ren, Michael C. Fu
We generalize the generalized likelihood ratio (GLR) method through a novel push-out Leibniz integration approach. Extending the conventional push-out likelihood ratio (LR) method,…