arXiv subjects

Song Yao

Publications and source records attributed to Song Yao.

25 records · Page 2Linked to original sources

arXiv2012

The site conditions of the Guo Shou Jing Telescope

The weather at Xinglong Observing Station, where the Guo Shou Jing Telescope (GSJT) is located, is strongly affected by the monsoon climate in north-east China. The LAMOST survey strategy is constrained by these weather patterns. In this paper, we present a statistics on observing hours from 2004 to 2007, and the sky brightness, seeing, and sky transparency from 1995 to 2011 at the site. We investigate effects of the site conditions on the survey plan. Operable hours each month shows strong correlation with season: on average there are 8 operable hours per night available in December, but only 1-2 hours in July and August. The seeing and the sky transparency also vary with seasons. Although the seeing is worse in windy winters, and the atmospheric extinction is worse in the spring and summer, the site is adequate for the proposed scientific program of LAMOST survey. With a Monte Carlo simulation using historical data on the site condition, we find that the available observation hours constrain the survey footprint from 22h to 16h in right ascension; the sky brightness allows LAMOST to obtain the limit magnitude of V = 19.5mag with S/N = 10.

astro-ph.IM↗

arXiv2012

On Zero-Sum Stochastic Differential Games

We generalize the results of Fleming and Souganidis (1989) on zero sum stochastic differential games to the case when the controls are unbounded. We do this by proving a dynamic programming principle using a covering argument instead of relying on a discrete approximation (which is used along with a comparison principle by Fleming and Souganidis). Also, in contrast with Fleming and Souganidis, we define our pay-off through a doubly reflected backward stochastic differential equation. The value function (in the degenerate case of a single controller) is closely related to the second order doubly reflected BSDEs.

math.OC↗

arXiv2011

Quadratic Reflected BSDEs with Unbounded Obstacles

In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator $f$ has quadratic growth in the $z$-variable. In particular, we obtain existence, comparison, and stability results, and consider the optimal stopping for quadratic $g$-evaluations. As an application of our results we analyze the obstacle problem for semi-linear parabolic PDEs in which the non-linearity appears as the square of the gradient. Finally, we prove a comparison theorem for these obstacle problems when the generator is convex or concave in the $z$-variable.

math.PR↗

arXiv2011

Optimal Stopping for Non-linear Expectations

We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.

math.OC↗

arXiv2009

On Quadratic g-Evaluations/Expectations and Related Analysis

In this paper we extend the notion of g-evaluation, in particular g-expectation, to the case where the generator g is allowed to have a quadratic growth. We show that some important properties of the g-expectations, including a representation theorem between the generator and the corresponding g-expectation, and consequently the reverse comparison theorem of quadratic BSDEs as well as the Jensen inequality, remain true in the quadratic case. Our main results also include a Doob-Meyer type decomposition, the optional sampling theorem, and the up-crossing inequality. The results of this paper are important in the further development of the general quadratic nonlinear expectations.

math.PR↗

arXiv2009

Optimal Stopping for Dynamic Convex Risk Measures

We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an equivalent zero-sum game of control and stopping, between an agent (the "stopper") who chooses the termination time of the game, and an agent (the "controller", or "nature") who selects the probability measure.

math.PR↗

arXiv2007

Representation Theorems for Quadratic ${\cal F}$-Consistent Nonlinear Expectations

In this paper we extend the notion of ``filtration-consistent nonlinear expectation" (or "${\cal F}$-consistent nonlinear expectation") to the case when it is allowed to be dominated by a $g$-expectation that may have a quadratic growth. We show that for such a nonlinear expectation many fundamental properties of a martingale can still make sense, including the Doob-Meyer type decomposition theorem and the optional sampling theorem. More importantly, we show that any quadratic ${\cal F}$-consistent nonlinear expectation with a certain domination property must be a quadratic $g$-expectation. The main contribution of this paper is the finding of the domination condition to replace the one used in all the previous works, which is no longer valid in the quadratic case. We also show that the representation generator must be deterministic, continuous, and actually must be of the simple form.

math.PR↗