Optimal investment in credit derivatives portfolio under contagion risk(with A. Capponi),Math. Finan.forthcoming 2014
Bilateral credit valuation adjustment for large credit derivatives portfolios (with A. Capponi),Finan. & Stoch.18(2): 431-482, 2014
Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling (with X. Yang),Science China: Math.DOI: 10.1007/s11425-014-4802-6, 1-20, 2014
Credit derivatives pricing based on Lévy field driven term structure (with Y. Jiao and X. Yang),Stoch. Anal. & Appl.32(2): 229-252, 2014
On the default probability in a regime-switching regulated market (withY. Wang and X. Yang),Meth. Comput. Appl. Probab.16(1): 101-113, 2014
Kernel correlated Lévy field driven forward rate and application to derivative pricing (with Y. Wang and X. Yang).Appl. Math. & Optim.68(1): 21-41, 2013
Stochastic portfolio optimization with default risk (with Y. Wang and X. Yang).J. Math. Anal. Appl.397(2): 467-480, 2013
Optimal investment and consumption with default risk: HARA utility(with Y. Wang and X. Yang).Asia-Pacific Finan. Market20(3): 261-281, 2013
On the conditional default probability in a regulated market with jump risk (with D. Li, Y. Wang and X. Yang).Quant. Finan.13(12): 1967-1975, 2013
First passage times of reflected generalized Ornstein-Uhlenbeck processes (with G. Ren and Y. Wang).Stoch. & Dyn.13: 1250014, 1-16, 2013
First passage times of reflected O-U processes with two-sided jumps.Queueing Syst.73(1): 105-118, 2013
Large deviation for the nonlocal Kuramoto-Sivashinsky SPDE (with Y. Jiang).Nonlinear. Anal.82(C): 100-114, 2013
Lévy risk model with two-sided jumps and a barrier dividend strategy (with R. Song, D. Tang, Y. Wang, X. Yang).Insurance: Math. & Econom. 50(2): 280-291, 2012
Optimal portfolio and consumption selection with default risk (with Y. Wang, X. Yang).Front. Math. China7(6): 1019-1042, 2012
Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes (with X. Yang).Stats. Probab. Lett.82(7): 1374-1382, 2012
First passage times of constant-elasticity-of-variance processes with two-sided reflecting barriers (with C. Hao).J. Appl. Probab.49(4): 1119-1133, 2012
Derivative pricing based on the exchange rate in a target zone with realignment (with Y. Wang and X. Yang).Int. J. Theor. Appl. Finan.14(6): 945-956, 2011
Exponential change of measure applied to term structures of interest rates and exchange rates.Insurance: Math. & Econom.49(2): 216-225, 2011
Variational solutions of dissipative jump-type stochastic evolution equations (with K. Shi and Y. Wang).J. Math. Anal. Appl.373: 111-126, 2011
On the conditional default probability in a regulated market: a structural approach (with D. Tang, Y. Wang and X. Yang).Quant. Finan.11(12): 1695-1702, 2011
First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries (with Y. Wang and X. Yang).J. Appl. Probab.48(3): 723-732, 2011
Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes (with Y. Wang, X. Yang and G. Zhang).J. Stats. Planning and Infer.141(1): 588-596, 2011
On a stochastic interacting model with stepping-stone noises (with Y. Wang).Stats. Probab. Lett.81(8): 1300-1305, 2011
Mean first passage times of two-dimensional processes with jumps (with M. Lefebvre).Stats. Probab. Lett.81(8): 1183-1189, 2011
Some integral functionals of reflected SDEs and their applications in finance(with Y. Wang and X. Yang).Quant. Finan.11(3): 343-348, 2011
Markov-modulated jump–diffusions for currency option pricing(with Y. Wang and X. Yang).Insurance: Math. & Econom.46(3): 461-469, 2010
An optimal portfolio problem in a defaultable market (with Y. Wang and X. Yang).Adv. Appl. Probab.42(3): 689-705, 2010
Support theorem for a stochastic Cahn-Hilliard equation (with K. Shi and Y. Wang).Electron. J. Probab.15: 484-525, 2010
On a stochastic wave equation driven by a non-Gaussian Lévy process (with K. Shi and Y. Wang).J. Theoret. Probab.23(1): 328-343, 2010
Large deviations for perturbed reflected diffusion processes (with T. Zhang).Stochastics & Stochastic Report81(6): 531-543, 2009
Approximating solutions of neutral stochastic evolution equations with jumps (with K. Shi and Y. Wang).Science China: Math.52(5): 895-907, 2009
On a class of stochastic Anderson models with fractional noises (with Y. Jiang and Y. Wang).Stoch. Anal. & Appl.26(2): 256-273, 2008
Jump type Cahn-Hilliard equations with fractional noises (with K. Shi and Y. Wang).Chin. Ann. Math.29B(6): 663-678, 2008
Lyapunov exponent estimates of a class of higher-order stochastic Anderson models (with D. Tang).Proceedings of AMS136(11): 4033-4043, 2008
Stochastic Cahn-Hilliard equation with fractional noise (with Y. Jiang and Y. Wang).Stoch. & Dyn.8(4): 643-665, 2008
Explosive solutions of stochastic wave equations with damping on Rd(with D. Tang and Y. Wang).J. Diff. Eqn.244(1): 170-187, 2008
On a nonlocal stochastic Kuramoto-Sivashinsy equation with jumps (with K. Shi and Y. Wang).Stoch. & Dyn.7(4): 439-457, 2007
Discontinuous Galerkin method for elliptic stochastic partial differential equations on two and three dimensional spaces (with R. Yao).Science China: Math.50(11): 1661-1672, 2007
Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients (with R. Yao).Front. Math. China2(1): 73-85, 2007
On the first passage times of reflected OU processes with two-sided barriers (with Y. Wang and L. Zhang).Queueing Syst.54(4): 313-316, 2006
Stochastic Cahn–Hilliard partial differential equations with Lévy spacetime white noises (with Y. Wang).Stoch. & Dyn.6(2): 229-244, 2006