118 citations · 425 across the 31 of their papers we have counts for
7 papers · 1 filter
-Expectation of Distributions
Mingyu Xu, Zuo Quan Xu, Xun Yu Zhou
We define -expectation of a distribution as the infimum of the -expectations of all the terminal random variables sharing that distribution. We present two special cases for…
Simulated annealing from continuum to discretization: a convergence analysis via the Eyring--Kramers law
Wenpin Tang, Xun Yu Zhou
We study the convergence rate of continuous-time simulated annealing and its discretization for approximating the global optimum of a…
Two explicit Skorokhod embeddings for simple symmetric random walk
Xuedong He, Sang Hu, Jan Obłój +1
Motivated by problems in behavioural finance, we provide two explicit constructions of a randomized stopping time which embeds a given centered distribution on integers into a…
A Note on Indefinite Stochastic Riccati Equations
Zhongmin Qian, Xun Yu Zhou
An indefinite stochastic Riccati Equation is a matrix-valued, highly nonlinear backward stochastic differential equation together with an algebraic, matrix positive definiteness co…
Optimal stopping under probability distortion
Zuo Quan Xu, Xun Yu Zhou
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time in…
Continuous-time mean-variance efficiency: the 80% rule
Xun Li, Xun Yu Zhou
This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return…