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Fan Ye 0004

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affiliation: Morgan Stanley, New York, NY, USA
affiliation (PhD 2015): Georgia Institute of Technology, Atlanta, GA, USA
affiliation (former): University of Illinois at Urbana-Champaign, Department of Industrial & Enterprise Systems Engineering, IL, USA
affiliation (former): State University of New York, Department of Mathematics, NY, USA
affiliation (former): University at Buffalo, Department of Mathematics, NY, USA

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2010 – 2019

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2018
[j4]
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Fan Ye, Helin Zhu, Enlu Zhou:
Weakly Coupled Dynamic Program: Information and Lagrangian Relaxations. IEEE Trans. Autom. Control. 63(3): 698-713 (2018)
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Helin Zhu, Fan Ye, Enlu Zhou:
Solving the Dual Problems of Dynamic Programs via Regression. IEEE Trans. Autom. Control. 63(5): 1340-1355 (2018)
2015
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Fan Ye, Enlu Zhou:
Information Relaxation and Dual Formulation of Controlled Markov Diffusions. IEEE Trans. Autom. Control. 60(10): 2676-2691 (2015)
2013
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Fan Ye, Enlu Zhou:
Optimal Stopping of Partially Observable Markov Processes: A Filtering-Based Duality Approach. IEEE Trans. Autom. Control. 58(10): 2698-2704 (2013)
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Helin Zhu, Fan Ye, Enlu Zhou:
True martingales for upper bounds on Bermudan option prices under jump-diffusion processes. WSC 2013: 113-124
2012
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Fan Ye, Enlu Zhou:
Parameterized penalties in the dual representation of Markov decision processes. CDC 2012: 870-876
2011
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Fan Ye, Enlu Zhou:
Pricing American options under partial observation of stochastic volatility. WSC 2011: 3760-3771

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