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Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

Zhu, Lingjiong - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 544-550

Persistent link: https://www.econbiz.de/10010227943

A risk analysis for a system stabilized by a central agent

Garnier, Josselin; Papanicolaou, George; Yang, Tzu-Wei - In: Risk and decision analysis 6 (2017) 2, pp. 97-120

Persistent link: https://www.econbiz.de/10011743825

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

Detecting and identifying arbitrage in the spot foreign exchange market

Cui, Zhenyu; Qian, Wenhan; Taylor, Stephen; Zhu, Lingjiong - In: Quantitative finance 20 (2020) 1, pp. 119-132

Persistent link: https://www.econbiz.de/10012194858

Explicit solution to the economic index of riskiness

Cui, Zhenyu; Wu, Cai; Zhu, Lingjiong - In: Economics letters 232 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014464164

Optimal investment in a dual risk model

Fahim, Arash; Zhu, Lingjiong - In: Risks : open access journal 11 (2023) 2, pp. 1-29

Dual risk models are popular for modeling a venture capital or high-tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrates on the optimal dividend strategies. In this paper, we...

Persistent link: https://www.econbiz.de/10014245631

Stocking under random demand and product variety : exact models and heuristics

Ghosh, Vashkar; Paul, Anand; Zhu, Lingjiong - In: Production and operations management : the flagship … 31 (2022) 3, pp. 1006-1032

Persistent link: https://www.econbiz.de/10013164032

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

Approximate variational estimation for a model of network formation

Mele, Angelo; Zhu, Lingjiong - In: The review of economics and statistics 105 (2023) 1, pp. 113-124

Persistent link: https://www.econbiz.de/10014293245