108 citations · 345 across the 44 of their papers we have counts for
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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…