1 citations · 1 across the 2 of their papers we have counts for
6 papers
End-to-End PDE-Based Quantum Algorithms for Multi-Asset Option Pricing under Local and Stochastic Volatility
Nikita Guseynov, Nana Liu, Chi Seng Pun +1
Multi-asset option pricing under local- and stochastic-volatility models leads naturally to high-dimensional parabolic PDEs. We develop an end-to-end quantum PDE framework for Euro…
On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type
Qian Lei, Chi Seng Pun
This paper studies the well-posedness of a class of nonlocal parabolic partial differential equations (PDEs), or equivalently equilibrium Hamilton-Jacobi-Bellman equations, which h…
Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach
Bingyan Han, Chi Seng Pun, Hoi Ying Wong
This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we deriv…
Quantum Algorithms for the Pathwise Lasso
Joao F. Doriguello, Debbie Lim, Chi Seng Pun +2
We present a novel quantum high-dimensional linear regression algorithm with an -penalty based on the classical LARS (Least Angle Regression) pathwise algorithm. Similarly…
A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations
Qian Lei, Chi Seng Pun
In this paper, we establish existence, uniqueness, and regularity properties of the solutions to multi-dimensional backward stochastic Volterra integral equations (BSVIEs), whose (…
Dynamic Mean-Variance Asset Allocation in General Incomplete Markets A Nonlocal BSDE-based Feedback Control Approach
Qian Lei, Chi Seng Pun, Jingxiang Tang
This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our…