57 citations · 70 across the 31 of their papers we have counts for
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math.OC2023
Parameter learning: stochastic optimal control approach with reinforcement learning
Shuzhen Yang
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of t…
math.OC2023
Stochastic maximum principle for recursive optimal control problems with varying terminal time
Jiaqi Wang, Shuzhen Yang
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies ac…
q-fin.MF2023
Fixed-point iterative algorithm for SVI model
Shuzhen Yang, Wenqing Zhang
The stochastic volatility inspired (SVI) model is widely used to fit the implied variance smile. Presently, most optimizer algorithms for the SVI model have a strong dependence on…