110 citations · 275 across the 13 of their papers we have counts for
13 papers
Approximate optimality and the risk/reward tradeoff in a class of bandit problems
Zengjing Chen, Larry G. Epstein, Guodong Zhang
This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a…
Strategy-Driven Limit Theorems Associated Bandit Problems
Zengjing Chen, Shui Feng, Guodong Zhang
Motivated by the study of asymptotic behaviour of the bandit problems, we obtain several strategy-driven limit theorems including the law of large numbers, the large deviation prin…
A Central Limit Theorem, Loss Aversion and Multi-Armed Bandits
Zengjing Chen, Larry G. Epstein, Guodong Zhang
This paper studies a multi-armed bandit problem where the decision-maker is loss averse, in particular she is risk averse in the domain of gains and risk loving in the domain of lo…
A Central Limit Theorem for Sets of Probability Measures
Zengjing Chen, Larry G. Epstein
We prove a central limit theorem for a sequence of random variables whose means are ambiguous and vary in an unstructured way. Their joint distribution is described by a set of mea…
Explicit solutions for a class of nonlinear backward stochastic differential equations and their nodal sets
Zengjing Chen, Shuhui Liu, Zhongmin Qian +1
In this paper, we investigate a class of nonlinear backward stochastic differential equations (BSDEs) arising from financial economics, and give specific information about the noda…
Non-uniform Berry-Esseen Bound by Unbounded Exchangeable Pair Approach
Dali Liu, Zheng Li, Hanchao Wang +1
In this paper, a new technique is introduced to obtain non-uniform Berry-Esseen bounds of normal and nonnormal approximation for unbounded exchangeable pairs. This technique does n…