4 citations · 5 across the 2 of their papers we have counts for
2 papers
math.PR2018★ 4 cited
A General Framework of Multi-Armed Bandit Processes by Arm Switch Restrictions
Wenqing Bao, Xiaoqiang Cai, Xianyi Wu
This paper proposes a general framework of multi-armed bandit (MAB) processes by introducing a type of restrictions on the switches among arms evolving in continuous time. The Gitt…
q-fin.PR2013★ 1 cited
Option Pricing with Lie Symmetry Analysis and Similarity Reduction Method
Wenqing Bao, ChunLi Chen, Jin E. Zhang
With some transformations, we convert the problem of option pricing under state-dependent volatility into an initial value problem of the Fokker-Planck equation with a certain pote…