Hui Wang

发表

Importance Sampling, Large Deviations, and Differential Games

P. Dupuis, Hui Wang, 2004 .

Dynamic importance sampling for uniformly recurrent Markov chains

P. Dupuis, Hui Wang, 2005, math/0503454.

Dynamic importance sampling for queueing networks

P. Dupuis, Hui Wang, A. Sezer, 2007, 0710.4389.

On optimal terminal wealth under transaction costs

Jakša Cvitanić, Hui Wang, 2001 .

An infinite swapping approach to the rare-event sampling problem.

P. Dupuis, J. Doll, Hui Wang, 2011, The Journal of chemical physics.

Pricing Path-Dependent Options with Jump Risk via Laplace Transforms

S. Kou, Hui Wang, Giovanni Petrella, 2005 .

Monte Carlo Simulation with Applications to Finance

Hui Wang, 2012 .

Finite-Fuel Singular Control With Discretionary Stopping

I. Karatzas, D. Ocone, Hui Wang, 2000 .

An Explicit Cross Entropy Scheme for Mixtures

Hui Wang, Xiang Zhou, 2013, 1305.3226.

Adaptive Importance Sampling for Uniformly Recurrent Markov Chains

P. Dupuis, Hui Wang, 2003 .

A spatial averaging approach to rare-event sampling

J. D. Doll, P. Dupuis, J. Doll, 2009 .

Optimal stopping with random intervention times

Paul Dupuis, Hui Wang, P. Dupuis, 2002, Advances in Applied Probability.

A Barrier Option of American Type

Hui Wang, Ioannis Karatzas, I. Karatzas, 2000 .

First passage times of a jump diffusion process

Hui Wang, S. Kou, Hui Wang, 2003, Advances in Applied Probability.

An infinite swapping approach to the rare-event sampling problem.

J. D. Doll, P. Dupuis, J. Doll, 2011, The Journal of chemical physics.

Option Pricing Under a Double Exponential Jump Diffusion Model

Steven Kou, Hui Wang, S. Kou, 2001, Manag. Sci..

Importance Sampling for Weighted-Serve-the-Longest-Queue

Paul Dupuis, Hui Wang, Kevin Leder, 2009, Math. Oper. Res..

On the Large Deviations Properties of the Weighted-Serve-the-Longest-Queue Policy

Paul Dupuis, Hui Wang, Kevin Leder, 2008 .

Large deviations and importance sampling for a tandem network with slow-down

Paul Dupuis, Hui Wang, Kevin Leder, 2007, Queueing Syst. Theory Appl..

Utility maximization in incomplete markets with random endowment

Hui Wang, Walter Schachermayer, Jaksa Cvitanic, 2001, Finance Stochastics.

Discretization of deflated bond prices

Paul Glasserman, Hui Wang, P. Glasserman, 2000, Advances in Applied Probability.

On the convergence from discrete to continuous time in an optimal stopping problem

Paul Dupuis, Hui Wang, P. Dupuis, 2005, math/0505241.

Capacity expansion with exponential jump diffusion processes

Hui Wang, Hui Wang, 2003 .

On the optimality of conditional expectation as a Bregman predictor

Xin Guo, Arindam Banerjee, Hui Wang, 2005, IEEE Trans. Inf. Theory.

Large deviations for a feed-forward network

Hui Wang, L. Setayeshgar, 2011, Advances in Applied Probability.

Importance Sampling for Multiscale Diffusions

Konstantinos Spiliopoulos, Paul Dupuis, Hui Wang, 2011, Multiscale Model. Simul..

A Sequential Entry Problem with Forced Exits

Hui Wang, Hui Wang, 2005, Math. Oper. Res..

Importance sampling for Jackson networks

Paul Dupuis, Hui Wang, P. Dupuis, 2009, Queueing Syst. Theory Appl..

Importance sampling for sums of random variables with regularly varying tails

Paul Dupuis, Hui Wang, Kevin Leder, 2007, TOMC.

Optimal Bregman prediction and Jensen's equality

Xin Guo, Arindam Banerjee, Hui Wang, 2004, International Symposium onInformation Theory, 2004. ISIT 2004. Proceedings..

Some control problems with random intervention times

Hui Wang, Hui Wang, 2001, Advances in Applied Probability.

Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

Paul Dupuis, Hui Wang, P. Dupuis, 2005, Math. Oper. Res..

Utility Maximization with Discretionary Stopping

Hui Wang, Ioannis Karatzas, I. Karatzas, 2000, SIAM J. Control. Optim..

Control with Partial Observations and an Explicit Solution of Mortensen’s Equation

Hui Wang, Ioannis Karatzas, Daniel Ocone, 2004 .