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Fan Ye

Orcid: 0000-0001-7620-0875

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


According to our database1, Fan Ye authored at least 7 papers between 2011 and 2018.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

Legend:

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Links

Online presence:

On csauthors.net:

Bibliography

2018
Solving the Dual Problems of Dynamic Programs via Regression.
[BibTeX]
[DOI]
Helin Zhu
,
Fan Ye
,
Enlu Zhou
IEEE Trans. Autom. Control., 2018

Weakly Coupled Dynamic Program: Information and Lagrangian Relaxations.
[BibTeX]
[DOI]
Fan Ye
,
Helin Zhu
,
Enlu Zhou
IEEE Trans. Autom. Control., 2018

2015
Information Relaxation and Dual Formulation of Controlled Markov Diffusions.
[BibTeX]
[DOI]
Fan Ye
,
Enlu Zhou
IEEE Trans. Autom. Control., 2015

2013
Optimal Stopping of Partially Observable Markov Processes: A Filtering-Based Duality Approach.
[BibTeX]
[DOI]
Fan Ye
,
Enlu Zhou
IEEE Trans. Autom. Control., 2013

True martingales for upper bounds on Bermudan option prices under jump-diffusion processes.
[BibTeX]
[DOI]
Helin Zhu
,
Fan Ye
,
Enlu Zhou
Proceedings of the Winter Simulations Conference: Simulation Making Decisions in a Complex World, 2013

2012
Parameterized penalties in the dual representation of Markov decision processes.
[BibTeX]
[DOI]
Fan Ye
,
Enlu Zhou
Proceedings of the 51th IEEE Conference on Decision and Control, 2012

2011
Pricing American options under partial observation of stochastic volatility.
[BibTeX]
[DOI]
Fan Ye
,
Enlu Zhou
Proceedings of the Winter Simulation Conference 2011, 2011


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