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Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity 期刊论文
COMMUNICATIONS IN MATHEMATICS AND STATISTICS, 2022, 页码: 25
作者:  Duan, Pingtao;  Liu, Yuting;  Ma, Zhiming
收藏  |  浏览/下载：93/0  |  提交时间：2023/02/07
Option pricing  Discrete barrier options  Jump-diffusion model  Stochastic volatility  Stochastic intensity  
LARGE N LIMIT OF THE O(N) LINEAR SIGMA MODEL VIA STOCHASTIC QUANTIZATION 期刊论文
ANNALS OF PROBABILITY, 2022, 卷号: 50, 期号: 1, 页码: 131-202
作者:  Shen, Hao;  Smith, Scott A.;  Zhu, Rongchan;  Zhu, Xiangchan
收藏  |  浏览/下载：200/0  |  提交时间：2022/04/29
O(N) linear sigma model  Phi(4)  mean-field limit  stochastic quantization  space-time white noise  
Positivity-preserving symplectic methods for the stochastic Lotka-Volterra predator-prey model 期刊论文
BIT NUMERICAL MATHEMATICS, 2021, 页码: 28
作者:  Hong, Jialin;  Ji, Lihai;  Wang, Xu;  Zhang, Jingjing
收藏  |  浏览/下载：144/0  |  提交时间：2022/04/02
Stochastic Lotka-Volterra predator-prey model  Positivity  Stochastic symplecticity  Structure-preserving methods  Convergence order conditions  
Ergodic inventory control with diffusion demand and general ordering costs 期刊论文
OPERATIONS RESEARCH LETTERS, 2021, 卷号: 49, 期号: 4, 页码: 578-585
作者:  Wei, Bo;  Yao, Dacheng
收藏  |  浏览/下载：183/0  |  提交时间：2021/10/26
Stochastic inventory model  General ordering costs  Diffusion process  (s, S) policy  Impulse control  
Collective stochastic dynamics of the Cucker-Smale ensemble under uncertain communication 期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2021, 卷号: 284, 页码: 39-82
作者:  Ha, Seung-Yeal;  Jung, Jinwook;  Rockner, Michael
收藏  |  浏览/下载：177/0  |  提交时间：2021/06/01
Cucker-Smale model  Emergence  Flocking  Random communication  Stochastic kinetic Cucker-Smale equation  
Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2021, 卷号: 66, 期号: 4, 页码: 1529-1544
作者:  Wang, Bing-Chang;  Huang, Jianhui;  Zhang, Ji-Feng
收藏  |  浏览/下载：221/0  |  提交时间：2021/06/01
Mathematical model  Games  Robustness  Uncertainty  Optimal control  Stochastic processes  Differential equations  Forward-backward stochastic differential equation (FBSDE)  linear quadratic optimal control  mean field control  model uncertainty  social functional variation  
Why the Effects of Oil Price Shocks on China's Economy are Changing 期刊论文
ENERGY JOURNAL, 2020, 卷号: 41, 期号: 6, 页码: 107-132
作者:  Wang, Shouyang;  Zhang, Xun;  Zhao, Lin
收藏  |  浏览/下载：167/0  |  提交时间：2021/04/26
Oil price shocks  Macroeconomy  China  Dynamic stochastic general equilibrium model  Time varying  
Stochastic Multiscale Heat Transfer Analysis of Heterogeneous Materials with Multiple Random Configurations 期刊论文
COMMUNICATIONS IN COMPUTATIONAL PHYSICS, 2020, 卷号: 27, 期号: 2, 页码: 431-459
作者:  Yang, Zihao;  Guan, Xiaofei;  Cui, Junzhi;  Dong, Hao;  Wu, Ye;  Zhang, Jieqiong
收藏  |  浏览/下载：187/0  |  提交时间：2020/05/24
Multiple random configurations  heat transfer problem  reiterated homogenization analysis  micro-meso-macro formulations  stochastic multiscale model  
A Demand Forecasting Method Based on Stochastic Frontier Analysis and Model Average: An Application in Air Travel Demand Forecasting 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2019, 卷号: 32, 期号: 2, 页码: 615-633
作者:  Zhang Xinyu;  Zheng Yafei;  Wang Shouyang
收藏  |  浏览/下载：223/0  |  提交时间：2020/01/10
Air travel demand  demand forecasting  model average  model uncertainty  stochastic frontier analysis  
Social Power Dynamics Over Switching and Stochastic Influence Networks 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2019, 卷号: 64, 期号: 2, 页码: 582-597
作者:  Chen, Ge;  Duan, Xiaoming;  Friedkin, Noah E.;  Bullo, Francesco
收藏  |  浏览/下载：201/0  |  提交时间：2019/03/11
DeGroot-Friedkin (DF) model  opinion dynamics  social networks  social power evolution  stochastic approximation