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Large deviations for locally monotone stochastic partial differential equations driven by Levy noise Journal article
BERNOULLI, 2018,Volume: 24,Issue: 4A,Page: 2842-2874
Authors:  Xiong, Jie;  Zhai, Jianliang
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Freidlin-Wentzell type large deviation principle  Levy processes  locally monotone coefficients  stochastic partial differential equations  
Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching Journal article
SCIENCE CHINA-INFORMATION SCIENCES, 2018,Volume: 61,Issue: 7
Authors:  Zhang, Shuaiqi;  Xiong, Jie;  Liu, Xiangdong
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partial information  Markovian regime-switching  stochastic maximum principle  forward-backward stochastic differential equation (FBSDE)  
A SECOND-ORDER STOCHASTIC MAXIMUM PRINCIPLE FOR GENERALIZED MEAN-FIELD SINGULAR CONTROL PROBLEM Journal article
MATHEMATICAL CONTROL AND RELATED FIELDS, 2018,Volume: 8,Issue: 2,Page: 451-473
Authors:  Guo, Hancheng;  Xiong, Jie
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Stochastic maximum principle  mean-field control problem  singular control  Frechet derivative  range theorem of vector-valued measures  
MODERATE DEVIATIONS AND NONPARAMETRIC INFERENCE FOR MONOTONE FUNCTIONS Journal article
ANNALS OF STATISTICS, 2018,Volume: 46,Issue: 3,Page: 1225-1254
Authors:  Gao, Fuqing;  Xiong, Jie;  Zhao, Xingqiu
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Grenander estimator  interval censored data  large deviations  moderate deviations  nonparametric MLE  self-normalized limit  strong approximation  Talagrand inequality  
Bond and option pricing for interest rate model with clustering effects Journal article
QUANTITATIVE FINANCE, 2018,Volume: 18,Issue: 6,Page: 969-981
Authors:  Zhang, Xin;  Xiong, Jie;  Shen, Yang
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Interest rate modelling  Marked point process  Hawkes processes  Bond pricing  Bond option  
Pathwise uniqueness for stochastic differential equations driven by pure jump processes Journal article
STATISTICS & PROBABILITY LETTERS, 2017,Volume: 130,Page: 100-104
Authors:  Zheng, Jiayu;  Xiong, Jie
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Pure jump process  Weak uniqueness  Tanaka's formula  Pathwise uniqueness  Local time  
Strong existence and uniqueness to a class of nonlinear SPDEs driven by Gaussian colored noises Journal article
STATISTICS & PROBABILITY LETTERS, 2017,Volume: 129,Page: 113-119
Authors:  Xiong, Jie;  Yang, Xu
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Stochastic partial differential equation  Existence  Uniqueness  Colored noise  
Linear-quadratic stochastic Stackelberg differential game with asymmetric information Journal article
SCIENCE CHINA-INFORMATION SCIENCES, 2017,Volume: 60,Issue: 9
Authors:  Shi, Jingtao;  Wang, Guangchen;  Xiong, Jie
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stochastic Stackelberg differential game  linear-quadratic control  asymmetric information  conditional mean-field forward-backward stochastic differential equation  optimal filtering  
Irreducibility of stochastic real Ginzburg-Landau equation driven by alpha-stable noises and applications Journal article
BERNOULLI, 2017,Volume: 23,Issue: 2,Page: 1179-1201
Authors:  Wang, Ran;  Xiong, Jie;  Xu, Lihu
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Alpha-stable Noises  Exponential Ergodicity  Irreducibility  Moderate Deviation Principle  Stochastic Real Ginzburg-landau Equation  
Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes Journal article
STATISTICS & PROBABILITY LETTERS, 2017,Volume: 123,Page: 8-16
Authors:  Djouadi, Seddik M.;  Maroulas, Vasileios;  Pan, Xiaoyang;  Xiong, Jie
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Consistency  Asymptotic normality  Jump diffusions  Least-squares estimator  Poisson processes  Partially observed system