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A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance Journal article
Chen, Xu, Gong, Xin Xin, Sun, Youfa, Lei, Siu Long. A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance[J]. Fractal and Fractional, 2024, 8(6), 316.
Authors:  Chen, Xu;  Gong, Xin Xin;  Sun, Youfa;  Lei, Siu Long
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:3.6/3.5 | Submit date：2024/07/04
American Option Pricing  Banded Preconditioner  Fractional Partial Integro-differential Equation  Stability  Stock Loan  
Stochastic heat equation with Ornstein–Uhlenbeck operator Journal article
Li,Xiang. Stochastic heat equation with Ornstein–Uhlenbeck operator[J]. Statistics and Probability Letters, 2023, 201, 109887.
Authors:  Li,Xiang
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:0.9/0.8 | Submit date：2023/08/03
Feynman–kac Representations  Intermittency  Ornstein–uhlenbeck Operator  Stochastic Partial Differential Equation  
A probability approximation framework: Markov process approach Journal article
Chen, Peng, Shao, Qi Man, Xu, Lihu. A probability approximation framework: Markov process approach[J]. Annals of Applied Probability, 2023, 33(2), 1619-1659.
Authors:  Chen, Peng;  Shao, Qi Man;  Xu, Lihu
Favorite | TC[WOS]:1 TC[Scopus]:0  IF:1.4/1.9 | Submit date：2023/05/02
Euler–maruyama (Em) Discretization  Itô’s Formula  Markov Process  Normal Approximation  Online Stochastic Gradient Descent  Probability Approximation  Stable Process  Stochastic Differential Equation  Wasserstein-1 Distance  
Convolution theorems associated with quaternion linear canonical transform and applications Journal article
Xiaoxiao Hu, Dong Cheng, Kit Ian Kou. Convolution theorems associated with quaternion linear canonical transform and applications[J]. Signal Processing, 2022, 202, 108743.
Authors:  Xiaoxiao Hu;  Dong Cheng;  Kit Ian Kou
Favorite | TC[WOS]:8 TC[Scopus]:6  IF:3.4/3.8 | Submit date：2022/08/24
Quaternion Linear Canonical Transform  Convolution Theorem  Fredholm Integral Equation  Quaternion Partial Differential Equations  Multiplication Filters  
Hyers-Ulam Stability of Linear Quaternion-Valued Differential Equations with Constant Coefficients via Fourier Transform Journal article
Jiaojiao Lv, Kit Ian Kou, Jinrong Wang. Hyers-Ulam Stability of Linear Quaternion-Valued Differential Equations with Constant Coefficients via Fourier Transform[J]. Qualitative Theory of Dynamical Systems, 2022, 21(4), 116.
Authors:  Jiaojiao Lv;  Kit Ian Kou;  Jinrong Wang
Favorite | TC[WOS]:7 TC[Scopus]:7  IF:1.9/1.4 | Submit date：2022/10/05
Fourier Transform  Hyers-ulam Stability  Linear Quaternion-valued Differential Equation  
Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme Journal article
Lu, Jianya, Tan, Yuzhen, Xu, Lihu. Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme[J]. Bernoulli, 2022, 28(2), 937-964.
Authors:  Lu, Jianya;  Tan, Yuzhen;  Xu, Lihu
Favorite | TC[WOS]:5 TC[Scopus]:5  IF:1.5/1.6 | Submit date：2022/05/13
Central Limit Theorem  Euler-maruyama Scheme  Self-normalized Cramér-type Moderate Deviation  Stein’s Method  Stochastic Differential Equation  
Continuous Random Process Modeling of AGC Signals Based on Stochastic Differential Equations Journal article
Yiwei Qiu, Jin Lin, Feng Liu, Ningyi Dai, Yonghua Song. Continuous Random Process Modeling of AGC Signals Based on Stochastic Differential Equations[J]. IEEE Transactions on Power Systems, 2021, 36(5), 4575-4587.
Authors:  Yiwei Qiu;  Jin Lin;  Feng Liu;  Ningyi Dai;  Yonghua Song
Favorite | TC[WOS]:9 TC[Scopus]:17  IF:6.5/7.4 | Submit date：2021/12/08
Agc Signals  Automatic Generation Control (Agc)  Itô Process  Random Process  Stochastic Control  Stochastic Differential Equation (Sde)  Uncertainty Quantification  
An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models Journal article
Chen,Xu, Ding,Deng, Lei,Siu Long, Wang,Wenfei. An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models[J]. Numerical Algorithms, 2020, 87(3), 939-965.
Authors:  Chen,Xu;  Ding,Deng;  Lei,Siu Long;  Wang,Wenfei
Favorite | TC[WOS]:8 TC[Scopus]:10  IF:1.7/1.9 | Submit date：2021/03/09
Direct Method  Implicit-explicit Finite Difference Method  Multi-state European Options Pricing  Precondition  Tempered Fractional Partial Differential Equation  
A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models Journal article
Chen,Xu, Ding,Deng, Lei,Siu Long, Wang,Wenfei. A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models[J]. Computers and Mathematics with Applications, 2020, 79(2), 440-456.
Authors:  Chen,Xu;  Ding,Deng;  Lei,Siu Long;  Wang,Wenfei
Favorite | TC[WOS]:4 TC[Scopus]:4  IF:2.9/2.6 | Submit date：2021/03/09
Finite Difference Method  Finite Moment Log Stable Model  Preconditioner  Rainbow Options Pricing  Two-dimensional Fractional Partial Differential Equation  
Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations Journal article
Li, Xun, Sun, Jingrui, Xiong, Jie. Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations[J]. Applied Mathematics and Optimization, 2019, 80(1), 223-250.
Authors:  Li, Xun;  Sun, Jingrui;  Xiong, Jie
Favorite | TC[WOS]:55 TC[Scopus]:45  IF:1.6/1.8 | Submit date：2022/05/17
Decoupling  Linear Quadratic Optimal Control  Mean-field Backward Stochastic Differential Equation  Optimality System  Riccati Equation