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Designing higher value roads to preserve species at risk by optimally controlling traffic flow
期刊论文
Annals of Operations Research,2023, 卷号: 320, 期号: 2, 页码: 663-693
作者:
Davey, Nicholas
;
Langrené, Nicolas
;
Chen, Wen
;
Rhodes, Jonathan R.
;
Dunstall, Simon
收藏
  |  
浏览/下载:16/0
  |  
提交时间:2022/08/29
Dimensionality reduction
Ecological constraints
Road design
Stochastic dynamic programming
Surrogate model
Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes
期刊论文
Annals of Actuarial Science,2021, 卷号: 15, 期号: 3, 页码: 549-566
作者:
Chen, Wen
;
Koo, Bonsoo
;
Wang, Yunxiao
;
O'Hare, Colin
;
Langrené, Nicolas
收藏
  |  
浏览/下载:20/0
  |  
提交时间:2022/08/29
Age Pension
Economic scenarios generator
Monte Carlo simulation
Retirement income
Superannuation
Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes
会议论文
Annals of Actuarial Science
作者:
Chen,Wen
;
Koo,Bonsoo
;
Wang,Yunxiao
;
O'Hare,Colin
;
Langrené,Nicolas
收藏
  |  
浏览/下载:15/0
  |  
提交时间:2025/03/19
Age Pension
Economic scenarios generator
Monte Carlo simulation
Retirement income
Superannuation
Markovian approximation of the rough bergomi model for Monte Carlo option pricing
期刊论文
Mathematics,2021, 卷号: 9, 期号: 5, 页码: 1-21
作者:
Zhu, Qinwen
;
Loeper, Grégoire
;
Chen, Wen
;
Langrené, Nicolas
收藏
  |  
浏览/下载:19/0
  |  
提交时间:2022/08/29
Forward variance model
Hybrid scheme
Markovian representation
Rough fractional stochastic volatility
Rough heston
Sum of ornstein-uhlenbeck processes
Volatility skew
Volterra integral
Personalised drawdown strategies and partial annuitisation to mitigate longevity risk
期刊论文
Finance Research Letters,2021, 卷号: 39
作者:
Chen, Wen
;
Minney, Aaron
;
Toscas, Peter
;
Koo, Bonsoo
;
Zhu, Zili
收藏
  |  
浏览/下载:14/0
  |  
提交时间:2025/03/19
Annuitisation
Drawdown strategy
Economic scenario generator
Longevity risk
Retirement income
Superannuation
A 2nd-order ADI finite difference method for a 2D fractional Black–Scholes equation governing European two asset option pricing
期刊论文
Mathematics and Computers in Simulation,2020, 卷号: 171, 页码: 279-293
作者:
Chen, Wen
;
Wang, Song
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2025/03/19
Alternating direction implicit method
Finite difference
Option pricing
Two-dimensional spatial-fractional Black–Scholes equation
Accounting for tailings dam failures in the valuation of mining projects
期刊论文
Resources Policy,2019, 卷号: 63
作者:
Armstrong, Margaret
;
Langrené, Nicolas
;
Petter, Renato
;
Chen, Wen
;
Petter, Carlos
收藏
  |  
浏览/下载:12/0
  |  
提交时间:2022/08/29
Dry processing
Preventive maintenance
Quantization
Real options
Predictor-Based Disturbance Rejection Control for Sampled Systems with Input Delay
期刊论文
IEEE Transactions on Control Systems Technology,2019, 卷号: 27, 期号: 2, 页码: 772-780
作者:
Liu, Tao
;
Hao, Shoulin
;
Li, Dewei
;
Chen, Wen Hua
;
Wang, Qingguo
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2021/07/14
Dead-time compensator (DTC)
disturbance rejection control (DRC)
extended state observer (ESO)
input delay
robust stability
sampled control systems
Unified Sparse Subspace Learning via Self-Contained Regression
期刊论文
IEEE Transactions on Circuits and Systems for Video Technology,2018, 卷号: 28, 期号: 10, 页码: 2537-2550
作者:
Yi, Shuangyan
;
He, Zhenyu
;
Cheung, Yiu Ming
;
Chen, Wen Sheng
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2021/10/19
self-contained regression-type
sparse subspace learning
Weighted PCA
A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
期刊论文
Applied Mathematics and Computation,2017, 卷号: 305, 页码: 174-187
作者:
Chen, Wen
;
Wang, Song
收藏
  |  
浏览/下载:11/0
  |  
提交时间:2025/03/19
American option pricing
Finite difference method
Fractional differential equation
Linear complementarity problem
Optimal control
Penalty method