Li-Hsien Sun

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Pricing formulas for American perpetual knock-out and callable volatility options Communications in Statistics. Simulation and Computation	2026-09-24	Paper
Mean field social optimization: feedback person-by-person optimality and the dynamic programming equation SIAM Journal on Control and Optimization	2026-06-04	Paper
Partial information in a mean-variance portfolio selection game Mathematical Finance	2026-03-06	Paper
Detecting structural shifts and estimating single change-points in interval-based time series Statistics and Computing	2025-07-18	Paper
Changepoint detection in Gaussian sequential data with copula-based Markov chain models in an online environment Journal of Statistical Computation and Simulation	2025-06-26	Paper
Formulas for pricing American VIX options under the generalized mixture volatility models Communications in Statistics. Simulation and Computation	2025-06-13	Paper
Change point estimation for Gaussian time series data with copula-based Markov chain models Computational Statistics	2025-03-21	Paper
The Pareto type I joint frailty-copula model for clustered bivariate survival data Communications in Statistics. Simulation and Computation	2024-06-27	Paper
Estimation under copula-based Markov normal mixture models for serially correlated data Communications in Statistics. Simulation and Computation	2022-07-05	Paper
A Bayesian inference for time series via copula-based Markov chain models Communications in Statistics. Simulation and Computation	2022-06-21	Paper
Fitting competing risks data to bivariate Pareto models Communications in Statistics: Theory and Methods	2022-05-23	Paper
Optimal investment and reinsurance of insurers with lognormal stochastic factor model Mathematical Control and Related Fields	2022-03-29	Paper
Mean field games with heterogeneous groups: application to banking systems Journal of Optimization Theory and Applications	2022-01-27	Paper
Copula-based Markov models for time series. Parametric inference and process control SpringerBriefs in Statistics	2020-06-24	Paper
Systemic risk and stochastic games with delay Journal of Optimization Theory and Applications	2018-11-27	Paper
Systemic risk and interbank lending Journal of Optimization Theory and Applications	2018-11-27	Paper
R routines for performing estimation and statistical process control under copula-based time series models Communications in Statistics. Simulation and Computation	2017-09-20	Paper
Mean field games and systemic risk Communications in Mathematical Sciences	2015-06-12	Paper

Research outcomes over time

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