3 citations · 5 across the 4 of their papers we have counts for
4 papers
Solving the Dual Problems of Dynamic Programs via Regression
Helin Zhu, Fan Ye, Enlu Zhou
In recent years, information relaxation and duality in dynamic programs have been studied extensively, and the resulted primal-dual approach has become a powerful procedure in solv…
Weakly Coupled Dynamic Program: Information and Lagrangian Relaxations
Fan Ye, Helin Zhu, Enlu Zhou
"Weakly coupled dynamic program" describes a broad class of stochastic optimization problems in which multiple controlled stochastic processes evolve independently but subject to a…
Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes
Helin Zhu, Fan Ye, Enlu Zhou
Fast pricing of American-style options has been a difficult problem since it was first introduced to financial markets in 1970s, especially when the underlying stocks' prices follo…
Information Relaxation and Dual Formulation of Controlled Markov Diffusions
Fan Ye, Enlu Zhou
Information relaxation and duality in Markov decision processes have been studied recently by several researchers with the goal to derive dual bounds on the value function. In this…