Yipeng Yang
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Dr. Yipeng Yang is an Assistant Professor of Mathematics at University of Houston-Clear Lake. Dr. Yang's research interests are in the areas of Optimization, dynamical system and control theory, stochastic process and financial mathematics.
Recent Submissions
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Finite Horizon Optimal Execution with Bounded Rate of Transaction
(Stochastic Models, 2019)In this article, we consider an optimal execution problem with fixed time horizon and bounded transaction rate, which is more natural in practice. We show that, different from traditional stochastic control or singular ... -
Stability Analysis of Networked Control Systems with Bounded Random Delay and State Compensation: How Large is the Actual System Scale?
(AIMS Electronic Engineering, 2019)In this paper, a level set analysis is proposed which aims to analyze the S&P 500 return with a certain magnitude. It is found that the process of large jumps/drops of return tend to have negative serial correlation, and ... -
A Level Set Analysis and a Nonparametric Regression on S&P 500 Daily Return
(International Journal of Financial Studies, 2016)In this paper, a level set analysis is proposed which aims to analyze the S&P 500 return with a certain magnitude. It is found that the process of large jumps/drops of return tend to have negative serial correlation, and ... -
On the Paradox of Pesticides
(Communications in Nonlinear Science and Numerical Simulation, 2015)The paradox of pesticides was observed experimentally, which says that pesticides may dramatically increase the population of a pest when the pest has a natural predator. Here we use a mathematical model to study the ... -
Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
(International Journal of Financial Studies, 2015)Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high ... -
A Multi-dimensional Stochastic Singular Control Problem Via Dynkin Game and Dirichlet Form
(SIAM Journal on Control and Optimization, 2014)The traditional difficulty with stochastic singular control is characterizing the regularities of the value function and the optimal control policy. In this paper, a multidimensional singular control problem is considered. ... -
Refined Solutions of Time Inhomogeneous Optimal Stopping Problem and Zero-sum Game via Dirichlet Form
(Probability and Mathematical Statistics, 2014)The properties of value functions of time inhomogeneous optimal stopping problem and zero-sum game (Dynkin game) are studied through time dependent Dirichlet form. Under the absolute continuity condition on the transition ... -
The Effect of Synchronous Firing on the Clustering Dynamics of Social Amoebae
(Complexity, 2014)A discrete model for computer simulations of the clustering dynamics of social amoebae is presented. This model incorporates the wavelike propagation of extracellular signaling of 3′–5′‐cyclic adenosine monophosphate (cAMP), ... -
A Stochastic Portfolio Optimization Model with Bounded Memory
(Mathematics of Operations Research, 2011)This paper considers a portfolio management problem of Merton's type in which the risky asset return is related to the return history. The problem is modeled by a stochastic system with delay. The investor's goal is to ... -
Constant Elasticity of Variance model for Pro-portional Reinsurance and Investment
(Insurance: Mathematics and Economics, 2010)In our model, the insurer is allowed to buy reinsurance and invest in a risk-free asset and a risky asset. The claim process is assumed to follow a Brownian motion with drift, while the price process of the risky asset is ...
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