108 citations · 152 across the 8 of their papers we have counts for
14 papers
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…
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…
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…