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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  
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  
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  
Stochastic Assessment of AGC Systems Under Non-Gaussian Uncertainty Journal article
Chen, Xiaoshuang, Lin, Jin, Liu, Feng, Song, Yonghua. Stochastic Assessment of AGC Systems Under Non-Gaussian Uncertainty[J]. IEEE TRANSACTIONS ON POWER SYSTEMS, 2019, 34(1), 705-717.
Authors:  Chen, Xiaoshuang;  Lin, Jin;  Liu, Feng;  Song, Yonghua
Favorite | TC[WOS]:24 TC[Scopus]:33  IF:6.5/7.4 | Submit date：2019/01/17
Automatic Generation Control  Stochastic System  Stochastic Differential Equation  Partial Differential Equation  Series Expansion  Ito Theory  
Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching Journal article
Zhang, Shuaiqi, Xiong, Jie, Liu, Xiangdong. Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching[J]. SCIENCE CHINA-INFORMATION SCIENCES, 2018, 61(7).
Authors:  Zhang, Shuaiqi;  Xiong, Jie;  Liu, Xiangdong
Favorite | TC[WOS]:16 TC[Scopus]:18  IF:7.3/5.8 | Submit date：2018/10/30
Partial Information  Markovian Regime-switching  Stochastic Maximum Principle  Forward-backward Stochastic Differential Equation (Fbsde)  
The comparison between the direct and indirect method in the harmonic transformation model Conference paper
Yang L., Tang Y.Y., Li X., Zhao Y.. The comparison between the direct and indirect method in the harmonic transformation model[C], 2017, 218-222.
Authors:  Yang L.;  Tang Y.Y.;  Li X.;  Zhao Y.
Favorite | TC[WOS]:0 TC[Scopus]:0 | Submit date：2019/02/11
Green's Theory  Harmonic Transformation Model  Integral Equation  Partial Differential Equation  Potential Theory  
Strong existence and uniqueness to a class of nonlinear SPDEs driven by Gaussian colored noises Journal article
Xiong, Jie, Yang, Xu. Strong existence and uniqueness to a class of nonlinear SPDEs driven by Gaussian colored noises[J]. STATISTICS & PROBABILITY LETTERS, 2017, 129, 113-119.
Authors:  Xiong, Jie;  Yang, Xu
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:0.9/0.8 | Submit date：2018/10/30
Stochastic Partial Differential Equation  Existence  Uniqueness  Colored Noise  
Indirect Method-Potential Theory in the Harmonic Transformation Model Conference paper
Yang, Lina, Lin, Bai, Pan, Jianjia, Tang, Yuan Yan, Luo, Huiwu, Li, Xichun, Li, Zhiyuan, Cao, Weijia, IEEE. Indirect Method-Potential Theory in the Harmonic Transformation Model[C], 345 E 47TH ST, NEW YORK, NY 10017 USA:IEEE, 2017, 271-276.
Authors:  Yang, Lina;  Lin, Bai;  Pan, Jianjia;  Tang, Yuan Yan;  Luo, Huiwu; et al.
Favorite | TC[WOS]:0 TC[Scopus]:0 | Submit date：2018/10/30
Potential Theory  Harmonic Transformation Model  Partial Differential Equation  Integral Equation