R. H. Liu

Publication Activity (10 Years)

Years Active: 2001-2015
Publications (10 Years): 0

Top Topics

Mutual Information

Information Diffusion

Diffusion Models

Top Venues

Int. J. Comput. Math.

J. Comput. Appl. Math.

Publications

Muhammad Yousuf, Abdul-Qayyum M. Khaliq, R. H. Liu
- stable method. Int. J. Comput. Math. 92 (12) (2015)
R. H. Liu, D. Nguyen
A tree approach to options pricing under regime-switching jump diffusion models. Int. J. Comput. Math. 92 (12) (2015)
R. H. Liu, J. L. Zhao
A lattice method for option pricing with two underlying assets in the regime-switching model. J. Comput. Appl. Math. 250 (2013)
Paul W. Eloe, R. H. Liu
Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics. SIAM J. Appl. Math. 71 (4) (2011)
R. H. Liu
Analytical approximation method of option pricing under geometric mean-reverting process. Int. J. Comput. Math. 86 (6) (2009)
Paul W. Eloe, R. H. Liu, J. Y. Sun
Double barrier option under regime-switching exponential mean-reverting process. Int. J. Comput. Math. 86 (6) (2009)
Paul W. Eloe, R. H. Liu, M. Yatsuki, Gang George Yin, Qing Zhang
Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model. SIAM J. Appl. Math. 69 (3) (2008)
Qing Zhang, Gang George Yin, R. H. Liu
A Near-Optimal Selling Rule for a Two-Time-Scale Market Model. Multiscale Model. Simul. 4 (1) (2005)
Alain Bensoussan, R. H. Liu, Suresh P. Sethi
Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach. SIAM J. Control. Optim. 44 (5) (2005)
Gang George Yin, R. H. Liu, Qing Zhang
Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach. SIAM J. Optim. 13 (1) (2002)
R. H. Liu, Qing Zhang, Gang George Yin
Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time. Autom. 38 (3) (2002)
R. H. Liu, Qian Zhang, George Yin
Singularly perturbed Markov decision processes in discrete time. CDC (2001)