Pricing American options under partial observation of stochastic volatility. - Fan Ye 004; Enlu Zhou (WSC, 2011)

Parameterized penalties in the dual representation of Markov decision processes. - Fan Ye 004; Enlu Zhou (CDC, 2012)

True martingales for upper bounds on Bermudan option prices under jump-diffusion processes. - Helin Zhu; Fan Ye 004; Enlu Zhou (WSC, 2013)

Optimal Stopping of Partially Observable Markov Processes: A Filtering-Based Duality Approach. - Fan Ye 004; Enlu Zhou (IEEE Trans. Autom. Control., 2013)

Information Relaxation and Dual Formulation of Controlled Markov Diffusions. - Fan Ye 004; Enlu Zhou (IEEE Trans. Autom. Control., 2015)

Information relaxation in stochastic optimal control. - Fan Ye 004 (2015)

Weakly Coupled Dynamic Program: Information and Lagrangian Relaxations. - Fan Ye 004; Helin Zhu; Enlu Zhou (IEEE Trans. Autom. Control., 2018)

Solving the Dual Problems of Dynamic Programs via Regression. - Helin Zhu; Fan Ye 004; Enlu Zhou (IEEE Trans. Autom. Control., 2018)