56 citations · 68 across the 13 of their papers we have counts for
Showing 2020Show all
3 papers · 1 filter
eess.SY2020★ 3 cited
An Optimal Computing Budget Allocation Tree Policy for Monte Carlo Tree Search
Yunchuan Li, Michael C. Fu, Jie Xu
We analyze a tree search problem with an underlying Markov decision process, in which the goal is to identify the best action at the root that achieves the highest cumulative rewar…
q-bio.PE2020★ 2 cited
Supporting Real-Time COVID-19 Medical Management Decisions: The Transition Matrix Model Approach
Jian Chen, Michael C. Fu, Wenhong Zhang +1
Since the onset of the COVID-19 outbreak in Wuhan, China, numerous forecasting models have been proposed to project the trajectory of coronavirus infection cases. We propose a new…
q-fin.PR2020★ 1 cited
Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model
Michael C. Fu, Bingqing Li, Rongwen Wu +1
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds…