Lingjiong Zhu

Available identifiers

zbMath Open zhu.lingjiongMaRDI QIDQ405493

List of research outcomes

Publication	Date of Publication	Type
SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS	2024-02-20	Paper
Explicit solution to the economic index of riskiness	2024-01-19	Paper
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion	2023-07-03	Paper
SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL	2022-12-08	Paper
https://portal.mardi4nfdi.de/entity/Q5053256	2022-12-06	Paper
Global Convergence of Stochastic Gradient Hamiltonian Monte Carlo for Nonconvex Stochastic Optimization: Nonasymptotic Performance Bounds and Momentum-Based Acceleration	2022-12-01	Paper
ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE	2022-11-18	Paper
Asymptotic analysis for optimal dividends in a dual risk model	2022-10-31	Paper
On the optimal design of the randomized unbiased Monte Carlo estimators	2021-12-13	Paper
Non-convex isotonic regression via the Myersonian approach	2021-11-12	Paper
Operational Risk Management: A Stochastic Control Framework with Preventive and Corrective Controls	2021-01-19	Paper
Precise deviations for Hawkes processes	2020-12-07	Paper
Decentralized Stochastic Gradient Langevin Dynamics and Hamiltonian Monte Carlo	2020-07-01	Paper
Optimal unbiased estimation for expected cumulative discounted cost	2020-05-27	Paper
On the phase transition curve in a directed exponential random graph model	2020-02-05	Paper
Short Maturity Forward Start Asian Options in Local Volatility Models	2019-11-04	Paper
Asymptotic normality of extensible grid sampling	2019-10-18	Paper
Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options	2019-09-16	Paper
Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues	2019-07-31	Paper
Affine Point Processes: Refinements to Large-Time Asymptotics	2019-03-15	Paper
Small-noise limit of the quasi-Gaussian log-normal HJM model	2019-02-21	Paper
Some asymptotic results for nonlinear Hawkes processes	2018-12-10	Paper
Reciprocity in directed networks	2018-11-13	Paper
Limit theorems for Markovian Hawkes processes with a large initial intensity	2018-10-31	Paper
Global Convergence of Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization: Non-Asymptotic Performance Bounds and Momentum-Based Acceleration	2018-09-12	Paper
Explosion in the quasi-Gaussian HJM model	2018-07-16	Paper
Large deviations and applications for Markovian Hawkes processes with a large initial intensity	2018-03-27	Paper
SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL	2018-03-15	Paper
Asymptotics for the Euler-discretized Hull-White stochastic volatility model	2018-03-01	Paper
Asymptotic structure of constrained exponential random graph models	2017-10-16	Paper
Limit Theorems for Empirical Density of Greatest Common Divisors	2017-09-28	Paper
Asymptotics for sparse exponential random graph models	2017-06-16	Paper
A delayed dual risk model	2017-04-13	Paper
Lattice gas models with long range interactions	2017-03-13	Paper
Short Maturity Asian Options in Local Volatility Models	2017-01-11	Paper
Discrete sums of geometric Brownian motions, annuities and Asian options	2016-12-13	Paper
MODERATE AND LARGE DEVIATIONS FOR THE ERDŐS–KAC THEOREM	2016-03-10	Paper
On the growth rate of a linear stochastic recursion with Markovian dependence	2015-10-28	Paper
Limit Theorems for Marked Hawkes Processes with Application to a Risk Model	2015-10-20	Paper
Asymptotic structure and singularities in constrained directed graphs	2015-08-24	Paper
Large deviations for one-dimensional random walks on discrete point processes	2015-05-06	Paper
Large deviations for Markovian nonlinear Hawkes processes	2015-04-27	Paper
The speed of a biased walk on a Galton-Watson tree without leaves is monotonic with respect to progeny distributions for high values of bias	2015-03-09	Paper
Asymptotics for a Class of Self-Exciting Point Processes	2014-12-11	Paper
Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps	2014-10-15	Paper
Optimal Strategies for a Long-Term Static Investor	2014-09-25	Paper
On the large deviations for Engel's, Sylvester's series and Cantor's products	2014-09-22	Paper
Process-level large deviations for nonlinear Hawkes point processes	2014-09-05	Paper
Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims	2014-06-23	Paper
Large deviations for product of sums of random variables	2014-06-11	Paper
On the Hawkes Process with Different Exciting Functions	2014-03-04	Paper
Central Limit Theorem for Nonlinear Hawkes Processes	2013-10-17	Paper
Moderate deviations for Hawkes processes	2013-05-13	Paper
Nonlinear Hawkes Processes	2013-04-28	Paper

Research outcomes over time

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