Shaolin Ji
- Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
2015/08/31 by Mingshang Hu, Hu, Mingshang, Shaolin Ji +1 · 4 citations
Economics, Econometrics and Finance · Decision Sciences · Social Sciences · #Stochastic processes and financial applications #Risk and Portfolio Optimization #Insurance, Mortality, Demography, Risk Management
- A global stochastic maximum principle for fully coupled forward-backward stochastic systems
2018/03/06 by Mingshang Hu, Hu, Mingshang, Shaolin Ji +3 · 3 citations
Economics, Econometrics and Finance · #Climate Change Policy and Economics #FOS: Mathematics #Optimization and Control (math.OC)
- Three algorithms for solving high-dimensional fully-coupled FBSDEs through deep learning
2019/07/11 by Shaolin Ji, Shigē Péng, Ji, Shaolin +5 · 2 citations
Physics and Astronomy · Engineering · Decision Sciences · #Model Reduction and Neural Networks #Fluid Dynamics and Turbulent Flows #Probabilistic and Robust Engineering Design
- Solvability of one kind of forward-backward stochastic difference equations
2019/01/08 by Shaolin Ji, Haodong Liu, Ji, Shaolin +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · Medicine · #FOS: Mathematics #Mathematical and Theoretical Epidemiology and Ecology Models #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stochastic processes and financial applications
- Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
2020/07/05 by Shaolin Ji, Shigē Péng, Ji, Shaolin +5 · 1 citation
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Markov Chains and Monte Carlo Methods #Model Reduction and Neural Networks #Optimization and Control (math.OC) #Stochastic processes and financial applications
- A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
2020/10/21 by Mingshang Hu, Shaolin Ji, Hu, Mingshang +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #35K15 #60H10 #93E20 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- A Stochastic Maximum Principle for Forward-backward Stochastic Control Systems with Quadratic Generators and Sample-wise Constraints
2020/10/29 by Shaolin Ji, Ji, Shaolin, Rundong Xu +1 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #49K45 #60H10 #93E20 #Economic theories and models #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Stochastic processes and financial applications
- Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
2021/06/05 by Mingshang Hu, Shaolin Ji, Hu, Mingshang +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #35K15 #60H10 #93E20 #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- A novel control method for solving high-dimensional Hamiltonian systems through deep neural networks
2021/11/04 by Shaolin Ji, Ji, Shaolin, Shigē Péng +5 · 1 citation
Physics and Astronomy · Engineering · Economics, Econometrics and Finance · #Model Reduction and Neural Networks #Energy Load and Power Forecasting #Stochastic processes and financial applications
- Mean-variance portfolio selection with nonlinear wealth dynamics and random coefficients
2017/05/16 by Shaolin Ji, Hanqing Jin, Ji, Shaolin +3 · 1 citation
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Complex Systems and Time Series Analysis #Economic theories and models
- Decoupled Probabilistic Forecasting and Arbitrage-Aware Refinement of Implied Volatility Surfaces
2026/07/31 by Lifeng Hao, Shaolin Ji
Economics, Econometrics and Finance · #q-fin.CP #msc:60H10 #msc:93E20