Xun Li

Xun Li, Ping Lin, Xue-Cheng Tai et al.

This article presents a finite element method (FEM) for a partial integro-differential equation (PIDE) to price two-asset options with underlying price processes modeled by an exponential Levy process. We provide a variational formulation in a weighted Sobolev space, and establish existence and uniqueness of the FEM-based solution. Then we discuss the localization of the infinite domain problem to a finite domain and analyze its error. We tackle the localized problem by an explicit-implicit time-discretization of the PIDE, where the space-discretization is done through a standard continuous finite element method. Error estimates are given for the fully discretized localized problem where two assets are assumed to have uncorrelated jumps. Numerical experiments for the polynomial option and a few other two-asset options shed light on good performance of our proposed method.

Weiping Wu, Jianjun Gao, Junguo Lu et al.

This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop the explicit solution for this class of problem. The revealed optimal control policy is a piece-wise affine function of system state. This control policy can be computed efficiently by solving two Riccati equations off-line. Under some mild conditions, the stationary optimal control policy can be also derived for this class of problem with infinite horizon. This result can be used to solve the constrained dynamic mean-variance portfolio selection problem. Examples shed light on the solution procedure of implementing our method.

Xiangyu Cui, Xun Li, Yun Shi et al.

This paper studies a discrete-time mean-variance model based on reinforcement learning. Compared with its continuous-time counterpart in \cite{zhou2020mv}, the discrete-time model makes more general assumptions about the asset's return distribution. Using entropy to measure the cost of exploration, we derive the optimal investment strategy, whose density function is also Gaussian type. Additionally, we design the corresponding reinforcement learning algorithm. Both simulation experiments and empirical analysis indicate that our discrete-time model exhibits better applicability when analyzing real-world data than the continuous-time model.

Xiangke Wang, Xun Li, Yirui Cong et al.

In this paper, the recent developments on distributed coordination control, especially the consensus and formation control, are summarized with the graph theory playing a central role, in order to present a cohesive overview of the multi-agent distributed coordination control, together with brief reviews of some closely related issues including rendezvous/alignment, swarming/flocking and containment control.In terms of the consensus problem, the recent results on consensus for the agents with different dynamics from first-order, second-order to high-order linear and nonlinear dynamics, under different communication conditions, such as cases with/without switching communication topology and varying time-delays, are reviewed, in which the algebraic graph theory is very useful in the protocol designs, stability proofs and converging analysis. In terms of the formation control problem, after reviewing the results of the algebraic graph theory employed in the formation control, we mainly pay attention to the developments of the rigid and persistent graphs. With the notions of rigidity and persistence, the formation transformation, splitting and reconstruction can be completed, and consequently the range-based formation control laws are designed with the least required information in order to maintain a formation rigid/persistent. Afterwards, the recent results on rendezvous/alignment, swarming/flocking and containment control, which are very closely related to consensus and formation control, are briefly introduced, in order to present an integrated view of the graph theory used in the coordination control problem. Finally, towards the practical applications, some directions possibly deserving investigation in coordination control are raised as well.