108 citations · 345 across the 44 of their papers we have counts for
50 papers
Optimal Short-Term Forecast for Locally Stationary Functional Time Series
Yan Cui, Zhou Zhou
Accurate curve forecasting is of vital importance for policy planning, decision making and resource allocation in many engineering and industrial applications. In this paper we est…
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes
Erhan Bayraktar, Yu-Jui Huang, Zhenhua Wang +1
This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the…
Convergence of Policy Iteration for Entropy-Regularized Stochastic Control Problems
Yu-Jui Huang, Zhenhua Wang, Zhou Zhou
For a general entropy-regularized stochastic control problem on an infinite horizon, we prove that a policy iteration algorithm (PIA) converges to an optimal relaxed control. Contr…
Simultaneous Inference for Time Series Functional Linear Regression
Yan Cui, Zhou Zhou
We consider the problem of joint simultaneous confidence band (JSCB) construction for regression coefficient functions of time series scalar-on-function linear regression when the…
Stability of Time-inconsistent Stopping for One-dimensional Diffusion -- A Longer Version
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discountin…
Stability of Equilibria in Time-inconsistent Stopping Problems
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We investigate the stability of equilibrium-induced optimal values with respect to (w.r.t.) reward functions and transition kernels for time-inconsistent stopping problems…
Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We consider three equilibrium concepts proposed in the literature for time-inconsistent stopping problems, including mild equilibria, weak equilibria and strong equilibria. The dis…
Simultaneous Sieve Inference for Time-Inhomogeneous Nonlinear Time Series Regression
Xiucai Ding, Zhou Zhou
In this paper, we consider the time-inhomogeneous nonlinear time series regression for a general class of locally stationary time series. On one hand, we propose sieve nonparametri…
Auto-Regressive Approximations to Non-stationary Time Series, with Inference and Applications
Xiucai Ding, Zhou Zhou
Understanding the time-varying structure of complex temporal systems is one of the main challenges of modern time series analysis. In this paper, we show that every uniformly-posit…
Superhedging duality for multi-action options under model uncertainty with information delay
Anna Aksamit, Ivan Guo, Shidan Liu +1
We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) act…
A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria
Yu-Jui Huang, Zhou Zhou
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. Fir…
Adaptive Estimation for Non-stationary Factor Models And A Test for Static Factor Loadings
Weichi Wu, Zhou Zhou
This paper considers the estimation and testing of a class of locally stationary time series factor models with evolutionary temporal dynamics. In particular, the entries and the d…
Singular Perturbation of Zero-Sum Linear-Quadratic Stochastic Differential Games
Beniamin Goldys, James Yang, Zhou Zhou
We investigate a class of zero-sum linear-quadratic stochastic differential games on a finite time horizon governed by multiscale state equations. The multiscale nature of the prob…
Multiscale Linear-Quadratic Stochastic Optimal Control With Multiplicative Noise
Beniamin Goldys, Gianmario Tessitore, James Yang +1
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian no…
Teamwise Mean Field Competitions
Xiang Yu, Yuchong Zhang, Zhou Zhou
This paper studies competitions with rank-based reward among a large number of teams. Within each sizable team, we consider a mean-field contribution game in which each team member…
Frequency Detection and Change Point Estimation for Time Series of Complex Oscillation
Hau-Tieng Wu, Zhou Zhou
We consider detecting the evolutionary oscillatory pattern of a signal when it is contaminated by non-stationary noises with complexly time-varying data generating mechanism. A hig…
Statistical Inference for High Dimensional Panel Functional Time Series
Zhou Zhou, Holger Dette
In this paper we develop statistical inference tools for high dimensional functional time series. We introduce a new concept of physical dependent processes in the space of square…
Estimation and Inference of Time-Varying Auto-Covariance under Complex Trend: A Difference-based Approach
Yan Cui, Michael Levine, Zhou Zhou
We propose a difference-based nonparametric methodology for the estimation and inference of the time-varying auto-covariance functions of a locally stationary time series when it i…
Globally Optimal And Adaptive Short-Term Forecast of Locally Stationary Time Series And A Test for Its Stability
Xiucai Ding, Zhou Zhou
Forecasting the evolution of complex systems is one of the grand challenges of modern data science. The fundamental difficulty lies in understanding the structure of the observed s…
Multiscale Jump Testing and Estimation Under Complex Temporal Dynamics
Weichi Wu, Zhou Zhou
We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and ab…
Robust no arbitrage and the solvability of vector-valued utility maximization problems
Andreas H Hamel, Birgit Rudloff, Zhou Zhou
A market model with assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a numèrai…
Optimal Bookmaking
Matthew Lorig, Zhou Zhou, Bin Zou
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the pri…
State-domain Change Point Detection for Nonlinear Time Series Regression
Yan Cui, Jun Yang, Zhou Zhou
Change point detection in time series has attracted substantial interest, but most of the existing results have been focused on detecting change points in the time domain. This pap…
Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis
Matt Sourisseau, Hau-Tieng Wu, Zhou Zhou
We provide a statistical analysis of a tool in nonlinear-type time-frequency analysis, the synchrosqueezing transform (SST), for both the null and non-null cases. The intricate non…