Publications and Preprints

Legend: (*) denotes corresponding author.

Preprints

1. H. Qian, G. Yin, Q. Zhang*, A deep learning approach for optimal pairs trading, accepted by Journal of Systems Science and Complexity (invited paper dedicated to the 90th birthday of Professor Han-Fu Chen).

2. H. Qian*, G. Yin, Moderate Deviation Principles for Stochastic Reaction-Diffusion Equations in Random Environment, in preparation (manuscripts are avaiable upon request).

3. H. Qian*, G. Yin, Y. Cao, and G. Zhang, Maximum principles for partially observed optimal control of forward SPDEs with backward SDEs with jumps, major revision.

4. H. Qian*, G. Yin, Smoluchowski-Kramers Approximation Meets Khasminskii Averaging Principles in Nonequilibrium Random Environments II, submitted.

5. H. Qian*, Smoluchowski-Kramers Approximation Meets Khasminskii Averaging Principles in Nonequilibrium Random Environments I, submitted.

6. H. Qian*, Time-inconsistent linear quadratic optimal control for mean-field games in Hilbert spaces, submitted.

Publications

1. Y. Cao, H. Qian*, and G. Yin,Optimal control of stochastic partial differential equations with partial observations: Stochastic maximum principles and numerical approximation, SIAM Jounal on Control and Optimization, 64 (3), 1800-1829. [arXiv].

2. F. Bao, Y. Cao, H. Qian*, Numerical approximations for partially observed optimal control of stochastic partial differential equations, Applied Mathematics and Optimization, 94 (1), 23. [arXiv].

3. H. Qian*, Moderate deviation principles for stochastic differential equations in a fast-varying Markovian environment, Electronic Journal of Probability, 31, 1-43.[arXiv]

4. H. Qian*, Y. Cao, and G. Yin, Large Deviation Estimates for Nonlinear Filtering with Discontinuity and Small Noise, Stochastic Processes and their Applications, 104662.

5. P. Ernst, X. Ma, M. H. Nazari, H. Qian, L. Y. Wang, and G. Yin*, Numerical solutions of a class of optimal stopping problems, Nonlinear Analysis: Hybrid Systems, 53: 101507, 2024.

6. H. Qian, F. Wu, and G. Yin*, A class of numerical algorithms for stochastic differential equations with randomly varying truncations inspired by a stochastic optimization problem, Discrete and Continuous Dynamical Systems-S, 18 (3): 578-602, 2025.

7. H. Qian, G. Yin*, and Q. Zhang, Deep Filtering with Adaptive Learning Rates, IEEE Transactions on Automatic Control, 68 (6): 3285-3299, 2023.

8. H. Qian and G. Yin*, Moderate Deviations for the Langevin Equations: Strong Damping and Fast Markovian Switching, Journal of Mathematical Physics, 63 (12): 123304, 2022, 28 pp.

9. H. Qian, Q. Zhang* and G. Yin, Filtering with degenerate observation noise: A stochastic approximation approach, Automatica 142: 110376, 2022, 9 pp.

10. H. Qian, Z. Wen, and G. Yin*, Numerical Solutions for Optimal Control of Stochastic Kolmogorov Systems with Regime-Switching and Random Jumps, Statistical Inference for Stochastic Processes, 25 (1): 105-125, 2022 (invited paper dedicated to the 90th birthday of Professor Rafail Khasminskii).

11. G. Yin*, Z. Wen, H. Qian, and H. Nguyen, Numerical Solutions for Optimal Control of Stochastic Kolmogorov Systems, Journal of Systems Science and Complexity, 34 (5), 1703-1722, 2021.