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Stochastic Analysis, Stochastic Systems, and Applications to Finance.
Tsoi, Allanus - 2011
Key Features:This book discusses some frontiers of Gaussian processes analysis and their associated Wick-Ito formula. For the first time, the studies of fractional Brownian motion is put into the framework of fractional white noise multiplication operatorsSome up-to-date treatment is of the...
Persistent link: https://www.econbiz.de/10012689398
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Mathematics of finance : proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, June 22 - 26, 2003, Snowbird, Utah
Yin, George (ed.); Zhang, Qing (contributor) - 2004
Persistent link: https://www.econbiz.de/10001971366
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Optimal reinsurance strategies in regime-switching jump diffusion models : stochastic differential game formulation and numerical methods
Jin, Zhuo; Yin, George; Wu, Fuke - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 733-746
Persistent link: https://www.econbiz.de/10010227891
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Optimal reinsurance strategies in regime-switching jump diffusion models : stochastic differential game formulation and numerical methods
Jin, Zhuo; Yin, George; Wu, Fuke - 2013
Persistent link: https://www.econbiz.de/10010349104
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Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
Jin, Zhuo; Yang, Hailiang; Yin, George - 2013
Persistent link: https://www.econbiz.de/10010349106
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A mean-variance optimization problem for discounted Markov decision processes
Guo, Xianping; Ye, Liuer; Yin, George - In: European journal of operational research : EJOR 220 (2012) 2, pp. 423-429
Persistent link: https://www.econbiz.de/10009548843
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Stochastic algorithms and numerics for mean-reverting asset trading
Zhang, Qing; Zhuang, C.; Yin, George - In: Stochastic analysis, stochastic systems, and …, (pp. 245-261). 2011
Persistent link: https://www.econbiz.de/10009271643
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Invariance principle of regime-switching diffusions
Zhu, Chao; Yin, George - In: Stochastic analysis, stochastic systems, and …, (pp. 43-60). 2011
Persistent link: https://www.econbiz.de/10009271686
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Liquidation of a large block of stock with regime switching
Pemy, Moustapha; Zhang, Qing; Yin, George - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 629-648
Persistent link: https://www.econbiz.de/10003769023
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Real options with competition and regime switching
Bensoussan, Alain; Hoe, SingRu; Yan, Zhongfeng; Yin, George - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 224-250
Persistent link: https://www.econbiz.de/10011739453