Yijie Peng

Department of Industrial Engineering and Management, Peking University

No. 38 Xueyuan Road

Haidian District

Beijing, Beijing 100871

China

http://en.coe.pku.edu.cn/Faculty-A-Z/163.htm

SCHOLARLY PAPERS

3

DOWNLOADS

27

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Optimal Unbiased Estimation for Expected Cumulative Cost

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 30 Apr 2018
Stevens Institute of Technology - School of Business, University of Maryland - College Park, Department of Industrial Engineering and Management, Peking University and University of Minnesota - Minneapolis
Downloads 17 (548,137)
Citation 1

Abstract:

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unbiased simulation, optimal control, cumulative cost, efficiency of estimator

2.

Sensitivity Analysis of Portfolio Credit Derivatives by Conditional Monte Carlo Simulation

Number of pages: 26 Posted: 20 Jun 2019
Lei Lei, Yijie Peng, Michael Fu and Jianqiang Hu
Chongqing University, Department of Industrial Engineering and Management, Peking University, University of Maryland - College Park and Fudan University
Downloads 10 (591,815)
Citation 4

Abstract:

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simulation, stochastic gradient estimation, credit derivative, conditional Monte Carlo, copula model

3.

Stochastic Gradient Estimation for Artificial Neural Networks

Posted: 07 Feb 2019 Last Revised: 05 Sep 2019
Department of Industrial Engineering and Management, Peking University, Chinese Academy of Sciences (CAS), Vrije Universiteit Amsterdam, Hong Kong University of Science & Technology (HKUST) and Columbia University

Abstract:

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simulation, stochastic gradient estimation, artificial neural network, image identification