1 citations · 1 across the 4 of their papers we have counts for
5 papers
Deep Filtering
Qing Zhang, George Yin, Leyi Wang
This paper develops a deep learning method for linear and nonlinear filtering. The idea is to start with a nominal dynamic model and generate Monte Carlo sample paths. Then these s…
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…
When to sell a Markov chain asset?
Qing Zhang
This paper is concerned with an optimal stock selling rule under a Markov chain model. The objective is to find an optimal stopping time to sell the stock so as to maximize an expe…
An Optimal Pairs-Trading Rule
Qingshuo Song, Qing Zhang
This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the ot…
Weak Convergence Methods for Approximation of Path-dependent Functionals
Qingshuo Song, George Yin, Qing Zhang
This paper provides convergence analysis for the approximation of a class of path-dependent functionals underlying a continuous stochastic process. In the first part, given a seque…