Yongjin Wang

发表

Explosive solutions of stochastic wave equations with damping on R d

Lijun Bo, Dan Tang, Yongjin Wang, 2008 .

Optimal portfolio and consumption selection with default risk

Lijun Bo, Yongjin Wang, Xuewei Yang, 2012 .

Pricing European options under a diffusion model with psychological barriers and leverage effect

Yongjin Wang, Shiyu Song, Guanying Wang, 2020 .

Constant elasticity of variance models with target zones

Yongjin Wang, Liming Feng, Pingping Jiang, 2020 .

Exit Times, Undershoots and Overshoots for Reflected CIR Process with Two-Sided Jumps

Yongjin Wang, B. Li, Pingping Jiang, 2020, Methodology and Computing in Applied Probability.

On the Collision Local Time of Fractional Brownian Motions*

Yongjin Wang, Yiming Jiang, 2007 .

First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries

Lijun Bo, Yongjin Wang, Xuewei Yang, 2011 .

Optimal Investment and Consumption with Default Risk: HARA Utility

Lijun Bo, Yongjin Wang, Xuewei Yang, 2013 .

On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media

Yongjin Wang, Suxin Wang, Shiyu Song, 2016 .

First hitting times for doubly skewed Ornstein–Uhlenbeck processes

Suxin Wang, Shiyu Song, Yongjin Wang, 2015 .

Some properties of doubly skewed CIR processes

Shiyu Song, Guangli Xu, Yongjin Wang, 2016 .

On First Hitting Times for Skew CIR Processes

Shiyu Song, Guangli Xu, Yongjin Wang, 2016 .

THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE

Yongjin Wang, Shiyu Song, Guangli Xu, 2016 .

The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk

Yongjin Wang, Shiyu Song, Xingchun Wang, 2017 .

On stability of the Markov-modulated skew CIR process

Yongjin Wang, Guangli Xu, 2016 .

An alternative approach to super-Brownian motion with a locally infinite branching mass

Yongjin Wang, 2002 .

On a stochastic fractional partial differential equation with a fractional noise

Yongjin Wang, Kehua Shi, 2012 .

An optimal portfolio problem in a defaultable market

Lijun Bo, Xuewei Yang, Yongjin Wang, 2010, Advances in Applied Probability.

Stochastic portfolio optimization with default risk

Lijun Bo, Yongjin Wang, Xuewei Yang, 2013 .

Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes

Yongjin Wang, Guanying Wang, Xingchun Wang, 2014 .

Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing

Yongjin Wang, Guanying Wang, Xingchun Wang, 2014 .

Markov-Modulated Jump-Diffusions for Currency Option Pricing

Lijun Bo, Yongjin Wang, Xuewei Yang, 2010 .

Erratum to “Lévy risk model with two-sided jumps and a barrier dividend strategy” [Insurance Math. Econom. 50(2) (2012) 280–291]

Lijun Bo, Dan Tang, Yongjin Wang, 2013 .

Optimal credit investment and risk control for an insurer with regime-switching

Lijun Bo, Yongjin Wang, Huafu Liao, 2018, Mathematics and Financial Economics.

Lijun Bo, Yongjin Wang, Xuewei Yang, 2013 .

Hedging strategies for discretely monitored Asian options under Lévy processes

Yongjin Wang, Xingchun Wang, 2014 .

Saving good jobs from global competition by rewarding quality and efforts

Yongjin Wang, Laixun Zhao, 2015 .

Self-intersection local times and collision local times of bifractional Brownian motions

Yongjin Wang, Yiming Jiang, 2009 .

STOCHASTIC CAHN–HILLIARD EQUATION WITH FRACTIONAL NOISE

Lijun Bo, Yongjin Wang, Yiming Jiang, 2008 .

Optimal Investment and Consumption with Default Risk: HARA Utility

Lijun Bo, Yongjin Wang, Xuewei Yang, 2013, Asia-Pacific Financial Markets.

Lijun Bo, Yongjin Wang, Xuewei Yang, 2013, Applied Mathematics & Optimization.

Pricing double barrier options under a volatility regime-switching model with psychological barriers

Yongjin Wang, Shiyu Song, 2017, Review of Derivatives Research.

The Hitting Time Density for a Reflected Brownian Motion

Yongjin Wang, Xuewei Yang, Qin Hu, 2011, Computational Economics.

Some integral functionals of reflected SDEs and their applications in finance

Lijun Bo, Yongjin Wang, Xuewei Yang, 2008 .

On the stationary distribution of a storage process with local time input and subordinator output

Yongjin Wang, Wei Chen, 2005 .

From Markov jump systems to two species competitive Lotka-Volterra equations with diffusion

Lijun Bo, Yongjin Wang, Xue Qiang Wang, 2009 .

ON THE EXTINCTION OF A CLASS OF POPULATION-SIZE-DEPENDENT BISEXUAL BRANCHING PROCESSES

Yongjin Wang, Y. Xing, 2005 .

On a stochastic heat equation with first order fractional noises and applications to finance

Yiming Jiang, Xingchun Wang, Yongjin Wang, 2012 .

A Markov chain approximation scheme for option pricing under skew diffusions

Yongjin Wang, Zhenyu Cui, Kailin Ding, 2019, Quantitative Finance.

Some explicit results on one kind of sticky diffusion

Yiming Jiang, Yongjin Wang, Shiyu Song, 2019, Journal of Applied Probability.

Pricing European vanilla options under a jump-to-default threshold diffusion model

Yongjin Wang, Shiyu Song, Yiming Jiang, 2018, J. Comput. Appl. Math..

On the hitting time density for reected OU processes: with an application to the regulated market ∗

Xuewei Yang, Yongjin Wang, Yongjin Wang, 2010 .

The Hitting Time Density for a Reflected Brownian Motion

Yongjin Wang, Xuewei Yang, Qin Hu, 2010, Computational Economics.

Optimal portfolio and consumption selection with default risk

Lijun Bo, Yongjin Wang, Xuewei Yang, 2012, Frontiers of Mathematics in China.

FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES

Lijun Bo, Guijun Ren, Xuewei Yang, 2013 .

Pricing double barrier options under a volatility regime-switching model with psychological barriers

Yongjin Wang, Shiyu Song, 2017 .

On a Stochastic Wave Equation Driven by a Non-Gaussian Lévy Process

Lijun Bo, Yongjin Wang, Kehua Shi, 2009, 0905.0992.

The Issuer-pays Business Model and Competitive Rating Market: Rating Network Structure

Yongjin Wang, Guangli Xu, Xiaoyang Zhuo, 2017 .

On a Class of Stochastic Anderson Models with Fractional Noises

Lijun Bo, Yongjin Wang, Yiming Jiang, 2008 .

Stochastic fractional Anderson models with fractional noises

Yongjin Wang, Yiming Jiang, Kehua Shi, 2009 .

Finite time extinction of super-Brownian motions with deterministic catalyst

Yongjin Wang, Yanxia Ren, 2003 .

Estimating resource misallocation: Distinguishing factor market distortions from variable markups

Yongjin Wang, Ningning Li, 2021 .

On the first passage times of reflected O-U processes with two-sided barriers

Lijun Bo, Lidong Zhang, Yongjin Wang, 2006, Queueing Syst. Theory Appl..

Long time behavior for nonlocal stochastic Kuramoto-Sivashinsky equations

Yongjin Wang, Guanying Wang, Xingchun Wang, 2014 .

SOME CHARACTERS OF A CLASS OF ORNSTEIN-UHLENBECK TYPE MARKOV PROCESSES WITH STABLE PROCESSES

Yongjin Wang, 1997 .

Optimal investment of variance-swaps in jump-diffusion market with regime-switching

Lijun Bo, Dan Tang, Yongjin Wang, 2017 .

Modeling the Exchange Rates in a Target Zone by Reflected Ornstein-Uhlenbeck Process

Lijun Bo, Guijun Ren, Xuewei Yang, 2016 .

Derivative Pricing Based on the Exchange Rate in a Target Zone with Realignment

Lijun Bo, Yongjin Wang, Xuewei Yang, 2010 .

Skew Ornstein-Uhlenbeck processes and their financial applications

Yongjin Wang, Suxin Wang, Shiyu Song, 2015, J. Comput. Appl. Math..

On first passage times of sticky reflecting diffusion processes with double exponential jumps

Yongjin Wang, Shiyu Song, Yongjin Wang, 2020, Journal of Applied Probability.

On the probability of default in a market with price clustering and jump risk

Yongjin Wang, Shiyu Song, Guangli Xu, 2020 .

Stochastic wave equation of pure jumps: Existence, uniqueness and invariant measures

Yongjin Wang, Yiming Jiang, Xingchun Wang, 2012 .

Hilbert space-valued forward–backward stochastic differential equations with Poisson jumps and applications

Juliang Yin, Yongjin Wang, Yongjin Wang, 2007 .

Levy Risk Model with Two-Sided Jumps and a Barrier Dividend Strategy

Lijun Bo, Dan Tang, Yongjin Wang, 2011 .

The forward interest rate curve driven by a L

Lijun Bo, Yongjin Wang, Xuewei Yang, 2010 .

Optimal processing rate and buffer size of a jump-diffusion processing system

Yongjin Wang, Dan Tang, Xindan Li, 2014, Ann. Oper. Res..

Optimal processing rate and buffer size of a jump-diffusion processing system

Dan Tang, Yongjin Wang, Xuewei Yang, 2014, Annals of Operations Research.

On the conditional default probability in a regulated market: a structural approach

Lijun Bo, Dan Tang, Xuewei Yang, 2010 .

Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes

Lijun Bo, Guannan Zhang, Xuewei Yang, 2011 .

Existence of weak solutions to stochastic heat equations driven by truncated α-stable white noises with non-Lipschitz coefficients

Yongjin Wang, Xiaowen Zhou, Chengxin Yan, 2022, Journal of Mathematical Analysis and Applications.

Quality and the Unequal Gains from Tariff Liberalization

Yongjin Wang, Mi Dai, 2022, SSRN Electronic Journal.

Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process

Yizhou Bai, Haoyan Zhang, Yongjin Wang, 2021, Computational Economics.