| Publication | Date of Publication | Type |
|---|
Convergence analysis of iterative deep learning algorithms for fully nonlinear BSPDEs in non-Markovian utility maximization
Journal of Scientific Computing | 2026-08-26 | Paper |
A simple integral equation approach for optimal investment stopping problems with partial information (edit)
Mathematics of Operations Research | 2026-03-20 | Paper |
Optimal investment, retirement, and life insurance with consumption ratcheting and time-inhomogeneous utility
Science China. Mathematics | 2025-06-02 | Paper |
A general valuation framework for rough stochastic local volatility models and applications
European Journal of Operational Research | 2025-05-19 | Paper |
Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
Numerical Mathematics: Theory, Methods and Applications | 2025-01-14 | Paper |
High-dimensional stochastic control models for newsvendor problems and deep learning resolution
Annals of Operations Research | 2024-08-19 | Paper |
An efficient and provable sequential quadratic programming method for American and swing option pricing
European Journal of Operational Research | 2024-08-13 | Paper |
Rough Heston Models with Variable Vol-of-Vol and Option Pricing
Annals of Applied Mathematics | 2024-03-11 | Paper |
An implicit scheme for American put options
Journal of Scientific Computing | 2023-10-25 | Paper |
Optimal reinsurance-investment with loss aversion under rough Heston model
Quantitative Finance | 2023-06-20 | Paper |
High-order methods for the option pricing under multivariate rough volatility models
Computers & Mathematics with Applications | 2023-06-05 | Paper |
Optimal entry decision of unemployment insurance under partial information
Insurance Mathematics & Economics | 2023-04-20 | Paper |
Laplace bounds approximation for American options
Probability in the Engineering and Informational Sciences | 2022-11-22 | Paper |
Dual control methods for a mixed control problem with optimal stopping arising in optimal consumption and investment
Numerical Mathematics: Theory, Methods and Applications | 2022-08-04 | Paper |
Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
Science China. Mathematics | 2022-05-31 | Paper |
A fast algorithm for simulation of rough volatility models
Quantitative Finance | 2022-05-05 | Paper |
Pricing finite-maturity American capped stock loan
SCIENTIA SINICA Mathematica | 2022-03-21 | Paper |
Analysis of an adaptive remeshing algorithm with interpolations for reaction-diffusion equations with traveling heat source
SCIENTIA SINICA Mathematica | 2021-12-17 | Paper |
Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks
Journal of Computational and Applied Mathematics | 2021-12-14 | Paper |
CTMC integral equation method for American options under stochastic local volatility models
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Moving Finite Element Methods for a System of Semi-Linear Fractional Diffusion Equations
Advances in Applied Mathematics and Mechanics | 2021-09-30 | Paper |
Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
Quantitative Finance | 2021-07-16 | Paper |
Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
Mathematical Methods of Operations Research | 2021-07-14 | Paper |
Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
East Asian Journal on Applied Mathematics | 2021-04-22 | Paper |
Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
Journal of Scientific Computing | 2021-01-20 | Paper |
High-order methods for exotic options and Greeks under regime-switching jump-diffusion models
Numerical Mathematics: Theory, Methods and Applications | 2021-01-14 | Paper |
Least-squares Monte-Carlo methods for optimal stopping investment under CEV models
Quantitative Finance | 2020-12-07 | Paper |
Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
Computers & Mathematics with Applications | 2020-10-09 | Paper |
A spectral element method for option pricing under regime-switching with jumps
Journal of Scientific Computing | 2020-06-16 | Paper |
Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing
Journal of Computational and Applied Mathematics | 2020-02-18 | Paper |
Numerical methods for system parabolic variational inequalities from regime-switching American option pricing
Numerical Mathematics: Theory, Methods and Applications | 2020-01-22 | Paper |
Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model
European Journal of Operational Research | 2019-09-18 | Paper |
Global closed-form approximation of free boundary for optimal investment stopping problems
SIAM Journal on Control and Optimization | 2019-08-30 | Paper |
Optimal investment strategies for general utilities under dynamic elasticity of variance models
Quantitative Finance | 2018-11-14 | Paper |
Valuation of American strangles through an optimized lower-upper bound approach
Journal of the Operations Research Society of China | 2018-08-10 | Paper |
Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing
Journal of Scientific Computing | 2018-07-12 | Paper |
Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
International Journal of Computer Mathematics | 2018-05-17 | Paper |
Hybrid Laplace transform and finite difference methods for pricing American options under complex models
Computers & Mathematics with Applications | 2018-03-09 | Paper |
Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
Journal of Scientific Computing | 2018-03-01 | Paper |
Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
European Journal of Operational Research | 2017-12-06 | Paper |
A new finite element analysis for inhomogeneous boundary-value problems of space fractional differential equations
Journal of Scientific Computing | 2017-03-02 | Paper |
Convergence rates of moving mesh Rannacher methods for PDEs of Asian options pricing
Journal of Computational Mathematics | 2017-01-06 | Paper |
Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
Frontiers of Mathematics in China | 2016-03-09 | Paper |
Moving mesh methods for pricing Asian options with regime switching
Journal of Computational and Applied Mathematics | 2016-02-04 | Paper |
Stochastic areas of diffusions and applications
Journal of Mathematical Analysis and Applications | 2016-01-28 | Paper |
Convergence rates of trinomial tree methods for option pricing under regime-switching models
Applied Mathematics Letters | 2015-05-06 | Paper |
Convergence analysis of moving finite element methods for space fractional differential equations
Journal of Computational and Applied Mathematics | 2014-07-23 | Paper |
Moving finite element methods for time fractional partial differential equations
Science China. Mathematics | 2013-09-09 | Paper |
Fully discretized collocation methods for nonlinear singular Volterra integral equations
Journal of Computational and Applied Mathematics | 2013-04-18 | Paper |
Spectral collocation methods for Volterra-integro differential equations with noncompact kernels
Journal of Computational and Applied Mathematics | 2013-02-21 | Paper |
Analysis of a moving collocation method for one-dimensional partial differential equations
Science China. Mathematics | 2012-05-31 | Paper |
Blow-up solutions of nonlinear Volterra integro-differential equations
Mathematical and Computer Modelling | 2012-04-15 | Paper |
Cascading multilevel finite-element analysis for local and nonlocal parabolic problems
Numerical Functional Analysis and Optimization | 2011-07-15 | Paper |
Moving collocation methods for time fractional differential equations and simulation of blowup
Science China. Mathematics | 2011-07-01 | Paper |
High-order finite element methods for time-fractional partial differential equations
Journal of Computational and Applied Mathematics | 2011-05-11 | Paper |
On a moving mesh method for solving partial integro-differential equations
Journal of Computational Mathematics | 2010-11-05 | Paper |
Convergence analysis of moving Godunov methods for dynamical boundary layers
Computers & Mathematics with Applications | 2010-06-28 | Paper |
Moving mesh methods for blowup in reaction-diffusion equations with traveling heat source
Journal of Computational Physics | 2009-10-12 | Paper |
On a graded mesh method for a class of weakly singular Volterra integral equations
Journal of Computational and Applied Mathematics | 2009-08-05 | Paper |
Numerical simulation of blowup in nonlocal reaction-diffusion equations using a moving mesh method
Journal of Computational and Applied Mathematics | 2009-06-25 | Paper |
Finite element and DG analysis for neutral-type Volterra integro-differential equations with weakly singular kernels
Journal of Mathematical Analysis and Applications | 2009-06-18 | Paper |
| Error analysis for a fast numerical method to a boundary integral equation of the first kind | 2009-03-06 | Paper |
A study of moving mesh PDE methods for numerical simulation of blowup in reaction diffusion equations
Journal of Computational Physics | 2008-07-21 | Paper |
On the regularity of solutions to Volterra functional integro-differential equations with weakly singular kernels
Journal of Integral Equations and Applications | 2008-03-20 | Paper |
Abstract cascading multigrid preconditioners in Besov spaces
Communications on Pure and Applied Analysis | 2008-02-22 | Paper |
Finite element methods for partial Volterra integro-differential equations on two-dimensional unbounded spatial domains
Applied Mathematics and Computation | 2007-04-26 | Paper |
Artificial boundary conditions for parabolic Volterra integro-differential equations on unbounded two-dimensional domains
Journal of Computational and Applied Mathematics | 2006-10-30 | Paper |
A posteriori error estimates of discontinuous Galerkin methods for non-standard Volterra integro-differential equations
IMA Journal of Numerical Analysis | 2006-03-30 | Paper |
The numerical solution of parabolic Volterra integro-differential equations on unbounded spatial domains
Applied Numerical Mathematics | 2005-09-02 | Paper |
| scientific article; zbMATH DE number 1910893 (Why is no real title available?) | 2003-12-08 | Paper |
