| Publication | Date of Publication | Type |
|---|
Going beyond the Black-Scholes option pricing model: financial rogue waves in quantum mechanics
Chinese Journal of Physics (Taipei) | 2026-04-29 | Paper |
Reinforcement learning for continuous-time optimal execution: actor-critic algorithm and error analysis
Finance and Stochastics | 2026-03-23 | Paper |
Value-aware estimation of diffusion systems for continuous-time reinforcement learning: surrogate loss and financial applications
SIAM Journal on Financial Mathematics | 2026-01-01 | Paper |
Pricing and hedging autocallable products by Markov chain approximation
Review of Derivatives Research | 2025-12-16 | Paper |
The necessary and sufficient conditions of exponential stability for heat and wave equations with memory
Journal of Systems Science and Complexity | 2024-08-29 | Paper |
Deep learning for enhanced index tracking
Quantitative Finance | 2024-08-14 | Paper |
Speed and duration of drawdown under general Markov models
Quantitative Finance | 2024-07-23 | Paper |
Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
Journal of Economic Dynamics and Control | 2024-06-17 | Paper |
Rational solutions and rogue waves of the generalized \((2+1)\)-dimensional Kadomtsev-Petviashvili equation
Chinese Journal of Physics (Taipei) | 2024-05-21 | Paper |
Direct separation approach and multi-valued localized excitation for (M+N)-dimensional nonlinear system
Chinese Journal of Physics (Taipei) | 2024-05-14 | Paper |
Sufficient conditions of collapse for dipolar Bose‐Einstein condensate
ZAMM - Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik | 2024-02-13 | Paper |
Dynamical analysis of rational and semi‐rational solution for a new extended (3 + 1)‐dimensional Kadomtsev‐Petviashvili equation
Mathematical Methods in the Applied Sciences | 2023-12-21 | Paper |
Rational and semi‐rational solutions for a (3 + 1)‐dimensional generalized KP–Boussinesq equation in shallow water wave
Mathematical Methods in the Applied Sciences | 2023-12-20 | Paper |
A general approach for lookback option pricing under Markov models
Quantitative Finance | 2023-09-25 | Paper |
New solitons and conditional stability to the high dispersive nonlinear Schrödinger equation with parabolic law nonlinearity
Nonlinear Dynamics | 2023-08-02 | Paper |
A general approach for Parisian stopping times under Markov processes
Finance and Stochastics | 2023-07-06 | Paper |
A general method for analysis and valuation of drawdown risk
Journal of Economic Dynamics and Control | 2023-07-06 | Paper |
A two-step framework for arbitrage-free prediction of the implied volatility surface
Quantitative Finance | 2023-06-20 | Paper |
A data-driven deep learning approach for options market making
Quantitative Finance | 2023-06-20 | Paper |
Optical nondiffractive and nondispersive dark-wave dynamics in hydrodynamic origin
Journal of Physics A: Mathematical and Theoretical | 2023-02-16 | Paper |
Rational solutions with non-zero offset parameters for an extended (3 + 1)-dimensional BKP-Boussinesq equation
Chaos, Solitons and Fractals | 2023-01-12 | Paper |
Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
European Journal of Operational Research | 2022-12-12 | Paper |
Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
SIAM Journal on Financial Mathematics | 2022-09-23 | Paper |
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Review of Derivatives Research | 2022-08-19 | Paper |
Variable separation solution for an extended (3+1)-dimensional Boiti-Leon-Manna-Pempinelli equation
Applied Mathematics Letters | 2022-06-13 | Paper |
A Fourier transform method for solving backward stochastic differential equations
Methodology and Computing in Applied Probability | 2022-06-03 | Paper |
Rogue wave solutions of the generalized \(( 3 + 1)\)-dimensional Kadomtsev-Petviashvili equation
Chaos, Solitons and Fractals | 2022-05-31 | Paper |
Rating frailty, Bayesian updates, and portfolio credit risk analysis*
Quantitative Finance | 2022-05-27 | Paper |
Markov chain approximation of one-dimensional sticky diffusions
Advances in Applied Probability | 2022-01-18 | Paper |
Multiple-order breathers for a generalized (3+1)-dimensional Kadomtsev-Petviashvili Benjamin-Bona-Mahony equation near the offshore structure
Mathematics and Computers in Simulation | 2021-12-13 | Paper |
Modelling electricity prices: a time change approach
Quantitative Finance | 2021-07-16 | Paper |
Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation
(available as arXiv preprint) | 2021-07-09 | Paper |
Multiple-order rogue waves for the generalized \(( 2 + 1)\)-dimensional Kadomtsev-Petviashvili equation
Applied Mathematics Letters | 2021-04-28 | Paper |
Approximate controllability for degenerate heat equation with bilinear control
Journal of Systems Science and Complexity | 2021-04-08 | Paper |
The stability and stabilization of heat equation in non-cylindrical domain
Journal of Mathematical Analysis and Applications | 2020-10-28 | Paper |
Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
Operations Research | 2020-10-20 | Paper |
The stabilizability of heat equations with time-dependent coefficients
Mathematical Methods in the Applied Sciences | 2020-09-09 | Paper |
| Social selection-aware social network generation model | 2020-08-12 | Paper |
Equivalent measure changes for subordinate diffusions
Stochastic Models | 2019-11-18 | Paper |
Stability of degenerate heat equation in non-cylindrical/cylindrical domain
ZAMP. Zeitschrift für angewandte Mathematik und Physik | 2019-08-20 | Paper |
Parametric inference for discretely observed subordinate diffusions
Statistical Inference for Stochastic Processes | 2019-05-31 | Paper |
New exact solutions to the high dispersive cubic-quintic nonlinear Schrödinger equation
Physics Letters. A | 2018-12-14 | Paper |
New exact solutions for a generalized KdV equation
Nonlinear Dynamics | 2018-10-23 | Paper |
Analytical representations for the basic affine jump diffusion
Operations Research Letters | 2018-09-28 | Paper |
Dynamical behaviors of blowup solutions in trapped quantum gases: concentration phenomenon
Journal of Mathematical Analysis and Applications | 2018-09-17 | Paper |
Error analysis of finite difference and Markov chain approximations for option pricing
Mathematical Finance | 2018-08-16 | Paper |
Pure jump models for pricing and hedging VIX derivatives
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
The stability and exponential stabilization of the heat equation with memory
Journal of Mathematical Analysis and Applications | 2018-06-28 | Paper |
| The stability and rapid exponential stabilization of heat equation in non-cylindrical domain | 2017-12-18 | Paper |
The stability and rapid exponential stabilization of heat equation in non-cylindrical domain
(available as arXiv preprint) | 2017-01-01 | Paper |
Evaluating callable and putable bonds: an eigenfunction expansion approach
Journal of Economic Dynamics and Control | 2016-10-06 | Paper |
Additive subordination and its applications in finance
Finance and Stochastics | 2016-09-07 | Paper |
Option pricing in some non-Lévy jump models
SIAM Journal on Scientific Computing | 2016-07-20 | Paper |
An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
Journal of Computational and Applied Mathematics | 2015-11-13 | Paper |
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
Finance and Stochastics | 2015-11-09 | Paper |
Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Operations Research Letters | 2014-05-15 | Paper |
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Mathematical Finance | 2014-05-14 | Paper |
Optimal stopping in infinite horizon: an eigenfunction expansion approach
Statistics & Probability Letters | 2014-04-17 | Paper |
Optimal stopping and early exercise: an eigenfunction expansion approach
Operations Research | 2013-09-05 | Paper |
| scientific article; zbMATH DE number 6129811 (Why is no real title available?) | 2013-01-24 | Paper |
| Controllability for a class of heat equations with perturbations | 2009-07-06 | Paper |
| Controllability for heat equations with constrained control | 2009-06-23 | Paper |
On the indexes of harmonic foliations
Journal of Fudan University. Natural Science | 2002-02-18 | Paper |
