Sheung Chi Phillip Yam

Publication Activity (10 Years)

Years Active: 2010-2023
Publications (10 Years): 19

Top Topics

Learning Algorithm

Portfolio Selection

Optimal Control

Nash Equilibria

Top Venues

SIAM J. Control. Optim.

Eur. J. Oper. Res.

J. Comput. Appl. Math.

Publications

Guiyuan Ma, Chi Chung Siu, Sheung Chi Phillip Yam, Zeyu Zhou
Dynamic trading with Markov liquidity switching. Autom. 155 (2023)
Alain Bensoussan, Jiayue Han, Sheung Chi Phillip Yam, Xiang Zhou
Value-Gradient Based Formulation of Optimal Control Problem and Machine Learning Algorithm. SIAM J. Numer. Anal. 61 (2) (2023)
Jinhui Han, Sheung Chi Phillip Yam
A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management. SIAM J. Control. Optim. 60 (3) (2022)
Ka Chun Cheung, Sheung Chi Phillip Yam, Yiying Zhang
Satisficing credibility for heterogeneous risks. Eur. J. Oper. Res. 298 (2) (2022)
Jinhui Han, Guiyuan Ma, Sheung Chi Phillip Yam
Relative performance evaluation for dynamic contracts in a large competitive market. Eur. J. Oper. Res. 302 (2) (2022)
Xiaolong Li, Yifan Shi, Sheung Chi Phillip Yam, Hailiang Yang
Fourier-Cosine Method for Finite-Time Gerber-Shiu Functions. SIAM J. Sci. Comput. 43 (3) (2021)
Alain Bensoussan, Thomas Cass, Michael Chau, Sheung Chi Phillip Yam
Mean Field Games With Parametrized Followers. IEEE Trans. Autom. Control. 65 (1) (2020)
Alain Bensoussan, Yiqun Li, Dinh Phan Cao Nguyen, Minh-Binh Tran, Sheung Chi Phillip Yam, Xiang Zhou
Machine Learning and Control Theory. CoRR (2020)
Alain Bensoussan, Boualem Djehiche, Hamidou Tembine, Sheung Chi Phillip Yam
Mean-Field-Type Games with Jump and Regime Switching. Dyn. Games Appl. 10 (1) (2020)
Alain Bensoussan, Kwok Chuen Wong, Sheung Chi Phillip Yam
A paradox in time-consistency in the mean-variance problem? Finance Stochastics 23 (1) (2019)
Alain Bensoussan, Shaokuan Chen, Anshuman Chutani, Suresh P. Sethi, Chi Chung Siu, Sheung Chi Phillip Yam
Feedback Stackelberg-Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising. SIAM J. Control. Optim. 57 (5) (2019)
Ka Chun Cheung, Jan Dhaene, Yian Rong, Sheung Chi Phillip Yam
Probabilistic solutions for a class of deterministic optimal allocation problems. J. Comput. Appl. Math. 336 (2018)
Alain Bensoussan, Michael Chau, Y. Lai, Sheung Chi Phillip Yam
Linear-Quadratic Mean Field Stackelberg Games with State and Control Delays. SIAM J. Control. Optim. 55 (4) (2017)
Alain Bensoussan, Boualem Djehiche, Hamidou Tembine, Sheung Chi Phillip Yam
Risk-sensitive mean-field-type control. CDC (2017)
Sheung Chi Phillip Yam, W. Zhou
Optimal Liquidation of Child Limit Orders. Math. Oper. Res. 42 (2) (2017)
Kwok Chuen Wong, Sheung Chi Phillip Yam, H. Zheng
Utility-Deviation-Risk Portfolio Selection. SIAM J. Control. Optim. 55 (3) (2017)
Alain Bensoussan, K. C. J. Sung, Sheung Chi Phillip Yam, Siu-Pang Yung
Linear-Quadratic Mean Field Games. J. Optim. Theory Appl. 169 (2) (2016)
Sheung Chi Phillip Yam, Hailiang Yang, Fei Lung Yuen
Optimal asset allocation: Risk and information uncertainty. Eur. J. Oper. Res. 251 (2) (2016)
Alain Bensoussan, Laurent Mertz, Sheung Chi Phillip Yam
NonLocal Boundary Value Problems of a Stochastic Variational Inequality Modeling an Elasto-Plastic Oscillator Excited by a Filtered Noise. SIAM J. Math. Anal. 48 (4) (2016)
Kwok-Wing Chau, Sheung Chi Phillip Yam, Hailiang Yang
Fourier-cosine method for ruin probabilities. J. Comput. Appl. Math. 281 (2015)
Alain Bensoussan, Michael Chau, Sheung Chi Phillip Yam
Mean Field Stackelberg Games: Aggregation of Delayed Instructions. SIAM J. Control. Optim. 53 (4) (2015)
Alain Bensoussan, Chi Chung Siu, Sheung Chi Phillip Yam, Hailiang Yang
A class of non-zero-sum stochastic differential investment and reinsurance games. Autom. 50 (8) (2014)
Alain Bensoussan, Kwok Chuen Wong, Sheung Chi Phillip Yam, Siu-Pang Yung
Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting. SIAM J. Financial Math. 5 (1) (2014)
Sheung Chi Phillip Yam, S. P. Yung, J. H. Zhou
A mean-variance portfolio selection problem subject to a benchmark constraint: An existence result. Risk Decis. Anal. 4 (1) (2013)
Alain Bensoussan, K. C. J. Sung, Sheung Chi Phillip Yam
Linear-Quadratic Time-Inconsistent Mean Field Games. Dyn. Games Appl. 3 (4) (2013)
Wai Keung Wong, John Alexander Wright, Sheung Chi Phillip Yam, S. P. Yung
A mixed Sharpe ratio. Risk Decis. Anal. 3 (1-2) (2012)
Zaiyue Yang, Sheung Chi Phillip Yam, L. K. Li, Yiwen Wang
Universal Repetitive Learning Control for Nonparametric Uncertainty and Unknown State-Dependent Control Direction Matrix. IEEE Trans. Autom. Control. 55 (7) (2010)