Shiyu Song

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
Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing Journal of Applied Probability	2024-11-15	Paper
Computation of VaR for portfolios in intensity models Communications in Statistics. Theory and Methods	2024-07-26	Paper
The analysis and property of two classes of skew Markov processes SCIENTIA SINICA Mathematica	2022-03-21	Paper
A result on the Laplace transform associated with the sticky Brownian motion on an interval Stochastics and Dynamics	2021-12-17	Paper
Some explicit results on first exit times for a jump diffusion process involving semimartingale local time Journal of Theoretical Probability	2021-11-17	Paper
An event-triggered approach to robust fault detection for nonlinear uncertain Markovian jump systems with time-varying delays Circuits, Systems, and Signal Processing	2020-08-20	Paper
On first passage times of sticky reflecting diffusion processes with double exponential jumps Journal of Applied Probability	2020-05-12	Paper
On the probability of default in a market with price clustering and jump risk Mathematics and Financial Economics	2020-04-29	Paper
Some explicit results on one kind of sticky diffusion Journal of Applied Probability	2019-07-31	Paper
Pricing double barrier options under a volatility regime-switching model with psychological barriers Review of Derivatives Research	2018-11-30	Paper
On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media Physica A	2018-11-13	Paper
Pricing European vanilla options under a jump-to-default threshold diffusion model Journal of Computational and Applied Mathematics	2018-07-26	Paper
Closed-form likelihood estimation for one type of affine point processes Communications in Statistics. Theory and Methods	2016-10-31	Paper
The valuation of options on foreign exchange rate in a target zone International Journal of Theoretical and Applied Finance	2016-05-17	Paper
On first hitting times for skew CIR processes Methodology and Computing in Applied Probability	2016-04-12	Paper
Some properties of doubly skewed CIR processes Journal of Mathematical Analysis and Applications	2015-11-17	Paper
First hitting times for doubly skewed Ornstein-Uhlenbeck processes Statistics & Probability Letters	2015-04-01	Paper
Skew Ornstein-Uhlenbeck processes and their financial applications Journal of Computational and Applied Mathematics	2014-07-31	Paper

Research outcomes over time

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