4 citations · 5 across the 8 of their papers we have counts for
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math.OC2014★ 1 cited
Mean-Variance Type Controls Involving a Hidden Markov Chain: Models and Numerical Approximation
Zhixin Yang, George Yin, Qing Zhang
Motivated by applications arising in networked systems, this work examines controlled regime-switching systems that stem from a mean-variance formulation. A main point is that the…
math.OC2014
Stability of Numerical Methods for Jump Diffusions and Markovian Switching Jump Diffusions
Zhixin Yang, G. Yin, Haibo Li
This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptoti…