Shiyu Song

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
The analysis and property of two classes of skew Markov processes	2022-03-21	Paper
A result on the Laplace transform associated with the sticky Brownian motion on an interval	2021-12-17	Paper
Some explicit results on first exit times for a jump diffusion process involving semimartingale local time	2021-11-17	Paper
An event-triggered approach to robust fault detection for nonlinear uncertain Markovian jump systems with time-varying delays	2020-08-20	Paper
On first passage times of sticky reflecting diffusion processes with double exponential jumps	2020-05-12	Paper
On the probability of default in a market with price clustering and jump risk	2020-04-29	Paper
Some explicit results on one kind of sticky diffusion	2019-07-31	Paper
Pricing double barrier options under a volatility regime-switching model with psychological barriers	2018-11-30	Paper
On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media	2018-11-13	Paper
Pricing European vanilla options under a jump-to-default threshold diffusion model	2018-07-26	Paper
Closed-form likelihood estimation for one type of affine point processes	2016-10-31	Paper
THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE	2016-05-17	Paper
On first hitting times for skew CIR processes	2016-04-12	Paper
Some properties of doubly skewed CIR processes	2015-11-17	Paper
First hitting times for doubly skewed Ornstein-Uhlenbeck processes	2015-04-01	Paper
Skew Ornstein-Uhlenbeck processes and their financial applications	2014-07-31	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
instance of	human

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