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Limit order trading with a mean reverting reference price

Ahuja, Saran; Papanicolaou, George; Ren, Weiluo; Yang, … - In: Risk and decision analysis 6 (2017) 2, pp. 121-136

Persistent link: https://www.econbiz.de/10011743827

On the variance of single-run unbiased stochastic derivative estimators

Cui, Zhenyu; Fu, Michael; Hu, Jian-Qiang; Liu, Yanchu; … - In: INFORMS journal on computing : JOC 32 (2020) 2, pp. 390-407

Persistent link: https://www.econbiz.de/10012242769

Small-noise limit of the quasi-Gaussian log-normal HJM model

Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 45 (2017) 1, pp. 6-11

Persistent link: https://www.econbiz.de/10011687046

Explosion in the quasi-Gaussian HJM model

Pirjol, Dan; Zhu, Lingjiong - In: Finance and stochastics 22 (2018) 3, pp. 643-666

Persistent link: https://www.econbiz.de/10011945882

Operational risk management : a stochastic control framework with preventive and corrective controls

Xu, Yuqian; Zhu, Lingjiong; Pinedo, Michael - In: Operations research 68 (2020) 6, pp. 1804-1825

Persistent link: https://www.econbiz.de/10012392162

Discrete sums of geometric Brownian motions, annuities and Asian options

Pirjol, Dan; Zhu, Lingjiong - In: Insurance / Mathematics & economics 70 (2016), pp. 19-37

Persistent link: https://www.econbiz.de/10011597130

Global convergence of stochastic gradient hamiltonian monte carlo for nonconvex stochastic optimization : nonasymptotic performance bounds and momentum-based acceleration

Gao, Xuefeng; Gürbüzbalaban, Mert; Zhu, Lingjiong - In: Operations research 70 (2022) 5, pp. 2931-2947

Persistent link: https://www.econbiz.de/10014307142

Optimal batch size and process setting in light-emitting diode (LED) coproduction processes

Ghosh, Vashkar; Paul, Anand; Yang, Zhechao; Zhu, Lingjiong - In: Production and operations management : the flagship … 33 (2024) 5, pp. 1099-1115

Persistent link: https://www.econbiz.de/10014576987

Asymptotics for short maturity Asian options in jump-diffusion models with local volatility

Pirjol, Dan; Zhu, Lingjiong - In: Quantitative finance 24 (2024) 3/4, pp. 433-449

Persistent link: https://www.econbiz.de/10014552074

Deposit and Withdrawal Dynamics : A Data-Based Mutually-Exciting Stochastic Model

Xu, Yuqian - 2020

This paper proposes a mutually exciting discrete-time stochastic model to capture two essential features underlying the bank-customer behavior process---the dependence on the past behavior (i.e., path-dependence) and the behavioral interdependence between deposit and withdrawal activities (i.e.,...

Persistent link: https://www.econbiz.de/10012826692