1 citations · 1 across the 4 of their papers we have counts for
6 papers
SCMO: Stochastic Control for Optimization over Probability Measures on Infinite-Dimensional Spaces
Hang Cheung, Jinniao Qiu
We study objective-only optimization of possibly nonconvex and nonsmooth functionals over probability measures on a separable Hilbert space, allowing the optimizer to be intrinsica…
Viscosity Solutions of Fully second-order HJB Equations in the Wasserstein Space
Erhan Bayraktar, Hang Cheung, Ibrahim Ekren +3
In this paper, we show that the value functions of mean field control problems with common noise are the unique viscosity solutions to fully second-order Hamilton-Jacobi-Bellman eq…
Feynman-Kac Formula for Time-Dependent Nonlinear Schrödinger Equations with Applications in Numerical Approximations
Hang Cheung, Jinniao Qiu, Yang Yang
In this paper, we present a novel Feynman-Kac formula and investigate learning-based methods for approximating general nonlinear time-dependent Schrödinger equations which may be h…
Viscosity Solutions of a class of Second Order Hamilton-Jacobi-Bellman Equations in the Wasserstein Space
Hang Cheung, Ho Man Tai, Jinniao Qiu
This paper is devoted to solving a class of second order Hamilton-Jacobi-Bellman (HJB) equations in the Wasserstein space, associated with mean field control problems involving com…
A Viscosity Solution Theory of Stochastic Hamilton-Jacobi-Bellman equations in the Wasserstein Space
Hang Cheung, Jinniao Qiu, Alexandru Badescu
This paper is devoted to a viscosity solution theory of the stochastic Hamilton-Jacobi-Bellman equation in the Wasserstein spaces for the mean-field type control problem which allo…
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January 1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of statio…