Fan Ye

Publication Activity (10 Years)

Years Active: 2011-2018
Publications (10 Years): 3

Top Topics

Markov Decision Process

Diffusion Process

Payoff Functions

Top Venues

IEEE Trans. Autom. Control.

Publications

Fan Ye, Helin Zhu, Enlu Zhou
Weakly Coupled Dynamic Program: Information and Lagrangian Relaxations. IEEE Trans. Autom. Control. 63 (3) (2018)
Helin Zhu, Fan Ye, Enlu Zhou
Solving the Dual Problems of Dynamic Programs via Regression. IEEE Trans. Autom. Control. 63 (5) (2018)
Fan Ye, Enlu Zhou
Information Relaxation and Dual Formulation of Controlled Markov Diffusions. IEEE Trans. Autom. Control. 60 (10) (2015)
Fan Ye, Enlu Zhou
Optimal Stopping of Partially Observable Markov Processes: A Filtering-Based Duality Approach. IEEE Trans. Autom. Control. 58 (10) (2013)
Helin Zhu, Fan Ye, Enlu Zhou
True martingales for upper bounds on Bermudan option prices under jump-diffusion processes. WSC (2013)
Fan Ye, Enlu Zhou
Parameterized penalties in the dual representation of Markov decision processes. CDC (2012)
Fan Ye, Enlu Zhou
Pricing American options under partial observation of stochastic volatility. WSC (2011)