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## Liu, Ruihua

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 Author ID: liu.ruihua Published as: Liu, R.; Liu, R. H.; Liu, R.-H.; Liu, Rui Hua; Liu, Rui-Hua; Liu, Rui-hua; Liu, Ruihua
 Documents Indexed: 63 Publications since 1966
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#### Co-Authors

 1 single-authored 13 Zhang, Qing 12 Yin, Gang George 3 Eloe, Paul W. 2 Florescu, Ionuţ 2 Mariani, Maria Cristina 2 Tu, Fengsheng 1 Bao, Zheng 1 Cheng, Yujia 1 Fan, Jinsong 1 Haghi, Majid 1 Lai, Jizhou 1 Li, Fang 1 Liu, Fuyao 1 Liu, Jianye 1 Liu, Jiapeng 1 Liu, Yuanjin 1 Mollapourasl, Reza 1 Raffoul, Youssef Naim 1 Ren, Dan 1 Sewell, Granville 1 Shen, Chaomin 1 Sun, Jianyun 1 Wang, Jianwen 1 Wang, Yongzhong 1 Yatsuki, M. 1 Zhu, Yan-hua
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#### Serials

 2 Acta Automatica Sinica 2 SIAM Journal on Applied Mathematics 2 Electronic Journal of Differential Equations (EJDE) 1 Computers and Electrical Engineering 1 Applied Mathematics and Optimization 1 Automatica 1 Journal of Optimization Theory and Applications 1 Stochastic Analysis and Applications 1 Applied Numerical Mathematics 1 Journal of Applied Mathematics and Stochastic Analysis 1 Dynamic Systems and Applications 1 International Journal of Computer Mathematics 1 SIAM Journal on Optimization 1 Transactions of Nanjing University of Aeronautics & Astronautics 1 Mathematical Finance 1 Chinese Quarterly Journal of Mathematics 1 International Journal of Theoretical and Applied Finance 1 Journal of Systems Science and Complexity 1 Multiscale Modeling & Simulation 1 Journal of Computer Applications 1 Mathematical Control and Related Fields
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#### Fields

 15 Probability theory and stochastic processes (60-XX) 15 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Systems theory; control (93-XX) 7 Operations research, mathematical programming (90-XX) 4 Numerical analysis (65-XX) 3 Ordinary differential equations (34-XX) 2 Partial differential equations (35-XX) 2 Integral equations (45-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Statistics (62-XX) 2 Computer science (68-XX) 1 Associative rings and algebras (16-XX) 1 Category theory; homological algebra (18-XX)

#### Citations contained in zbMATH Open

37 Publications have been cited 337 times in 204 Documents Cited by Year
Recursive algorithms for stock liquidation: a stochastic optimization approach. Zbl 1021.91022
Yin, G.; Liu, R. H.; Zhang, Q.
2002
Optimality of $$(s,S)$$ policy with compound Poisson and diffusion demands: A quasi-variational inequalities approach. Zbl 1151.90304
Bensoussan, Alain; Liu, R. H.; Sethi, Suresh P.
2006
New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127
Khaliq, A. Q. M.; Liu, R. H.
2009
Regime-switching recombining tree for option pricing. Zbl 1233.91284
Liu, R. H.
2010
Option pricing in a regime-switching model using the fast Fourier transform. Zbl 1140.91402
Liu, R. H.; Zhang, Q.; Yin, G.
2006
Optimal selling rules in a regime-switching exponential Gaussian diffusion model. Zbl 1175.91079
Eloe, P.; Liu, R. H.; Yatsuki, M.; Yin, G.; Zhang, Q.
2008
A lattice method for option pricing with two underlying assets in the regime-switching model. Zbl 1285.91143
Liu, R. H.; Zhao, J. L.
2013
Solving complex PDE systems for pricing American options with regime-switching by efficient exponential time differencing schemes. Zbl 1282.91377
Khaliq, A. Q. M.; Kleefeld, B.; Liu, R. H.
2013
A new tree method for pricing financial derivatives in a regime-switching mean-reverting model. Zbl 1254.91726
Liu, R. H.
2012
Stock liquidation via stochastic approximation using Nasdaq daily and intra-day data. Zbl 1128.91031
Yin, G.; Zhang, Q.; Liu, F.; Liu, R. H.; Cheng, Y.
2006
A near-optimal selling rule for a two-time-scale market model. Zbl 1108.91031
Zhang, Q.; Yin, G.; Liu, R. H.
2005
Double barrier option under regime-switching exponential mean-reverting process. Zbl 1163.91393
Eloe, P.; Liu, R. H.; Sun, J. Y.
2009
Pricing American options under multi-state regime switching with an efficient $$L$$-stable method. Zbl 1386.91168
Yousuf, M.; Khaliq, A. Q. M.; Liu, R. H.
2015
A tree approach to options pricing under regime-switching jump diffusion models. Zbl 1335.91106
Liu, R. H.; Nguyen, D.
2015
Numerical schemes for option pricing in regime-switching jump diffusion models. Zbl 1290.91180
Florescu, Ionut; Liu, Ruihua; Mariani, Maria Cristina; Sewell, Granville
2013
Solutions to a partial integro-differential parabolic system arising in the pricing of financial options in regime-switching jump diffusion models. Zbl 1294.35171
Florescu, Ionut; Liu, Ruihua; Mariani, Maria Cristina
2012
Bounded-input bounded-output stability of nonlinear time-varying differential systems. Zbl 0196.46101
Varaiya, P. P.; Liu, R.
1966
Optimal stopping of switching diffusions with state dependent switching rates. Zbl 1337.60075
Liu, R. H.
2016
A recombining tree method for option pricing with state-dependent switching rates. Zbl 1337.91102
Jiang, J. X.; Liu, R. H.; Nguyen, D.
2016
Boundedness and exponential stability of highly nonlinear stochastic differential equations. Zbl 1186.34081
Liu, Ruihua; Raffoul, Youssef
2009
Nearly optimal control of singularly perturbed Markov decision processes in discrete time. Zbl 0990.90125
Liu, R. H.; Zhang, Q.; Yin, G.
2001
Optimal investment and consumption with proportional transaction costs in regime-switching model. Zbl 1311.49105
Liu, Ruihua
2014
Response of Duffing system with delayed feedback control under bounded noise excitation. Zbl 1293.70074
Feng, Chang Shui; Liu, R.
2012
Generalized Christoffel functions for Jacobi-exponential weights on $$[-1, 1]$$. Zbl 1374.42050
Liu, R.; Shi, Y. G.
2016
Upper and lower solutions for regime-switching diffusions with applications in financial mathematics. Zbl 1238.91131
Eloe, P.; Liu, R. H.
2011
Minimal dimension realization and identifiability of input-output sequences. Zbl 0353.93028
Liu, R.; Suen, Lai Cherng
1977
A finite-horizon optimal investment and consumption problem using regime-switching models. Zbl 1305.91223
Liu, R. H.
2014
A fast implementation algorithm of TV inpainting model based on operator splitting method. Zbl 1250.68282
Li, Fang; Shen, Chaomin; Liu, Ruihua; Fan, Jinsong
2011
Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time. Zbl 1081.93528
Liu, R. H.; Zhang, Q.; Yin, G.
2002
Nearly optimal control of nonlinear Markovian systems subject to weak and strong interactions. Zbl 1011.93112
Liu, R. H.; Zhang, Q.; Yin, G.
2001
A necessary and sufficient condition for feedback stabilization in a factorial ring. Zbl 0543.93055
Raman, Vijay R.; Liu, R.
1984
A lower bound on the chromatic number of a graph. Zbl 0233.05105
Myers, B. R.; Liu, R.
1972
On global linearization. Zbl 0244.93015
Liu, R.; Saeks, R.; Leake, R. J.
1971
Valuation of guaranteed equity-linked life insurance under regime-switching models. Zbl 1234.93095
Liu, R. H.; Zhang, Qing
2011
Large-deflection bending of symmetrically laminated rectilinearly orthotropic elliptical plates including transverse shear. Zbl 0893.73026
Liu, R.-H.; Xu, J.-C.; Zhai, S.-Z.
1997
A necessary and sufficient condition for stability of a perturbed system. Zbl 0611.93051
Huang, Qiu; Liu, R.
1987
Determination of the structure of multivariable stochastic linear systems. Zbl 0384.93012
Suen, Lai Cherng; Liu, R.
1978
Optimal stopping of switching diffusions with state dependent switching rates. Zbl 1337.60075
Liu, R. H.
2016
A recombining tree method for option pricing with state-dependent switching rates. Zbl 1337.91102
Jiang, J. X.; Liu, R. H.; Nguyen, D.
2016
Generalized Christoffel functions for Jacobi-exponential weights on $$[-1, 1]$$. Zbl 1374.42050
Liu, R.; Shi, Y. G.
2016
Pricing American options under multi-state regime switching with an efficient $$L$$-stable method. Zbl 1386.91168
Yousuf, M.; Khaliq, A. Q. M.; Liu, R. H.
2015
A tree approach to options pricing under regime-switching jump diffusion models. Zbl 1335.91106
Liu, R. H.; Nguyen, D.
2015
Optimal investment and consumption with proportional transaction costs in regime-switching model. Zbl 1311.49105
Liu, Ruihua
2014
A finite-horizon optimal investment and consumption problem using regime-switching models. Zbl 1305.91223
Liu, R. H.
2014
A lattice method for option pricing with two underlying assets in the regime-switching model. Zbl 1285.91143
Liu, R. H.; Zhao, J. L.
2013
Solving complex PDE systems for pricing American options with regime-switching by efficient exponential time differencing schemes. Zbl 1282.91377
Khaliq, A. Q. M.; Kleefeld, B.; Liu, R. H.
2013
Numerical schemes for option pricing in regime-switching jump diffusion models. Zbl 1290.91180
Florescu, Ionut; Liu, Ruihua; Mariani, Maria Cristina; Sewell, Granville
2013
A new tree method for pricing financial derivatives in a regime-switching mean-reverting model. Zbl 1254.91726
Liu, R. H.
2012
Solutions to a partial integro-differential parabolic system arising in the pricing of financial options in regime-switching jump diffusion models. Zbl 1294.35171
Florescu, Ionut; Liu, Ruihua; Mariani, Maria Cristina
2012
Response of Duffing system with delayed feedback control under bounded noise excitation. Zbl 1293.70074
Feng, Chang Shui; Liu, R.
2012
Upper and lower solutions for regime-switching diffusions with applications in financial mathematics. Zbl 1238.91131
Eloe, P.; Liu, R. H.
2011
A fast implementation algorithm of TV inpainting model based on operator splitting method. Zbl 1250.68282
Li, Fang; Shen, Chaomin; Liu, Ruihua; Fan, Jinsong
2011
Valuation of guaranteed equity-linked life insurance under regime-switching models. Zbl 1234.93095
Liu, R. H.; Zhang, Qing
2011
Regime-switching recombining tree for option pricing. Zbl 1233.91284
Liu, R. H.
2010
New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127
Khaliq, A. Q. M.; Liu, R. H.
2009
Double barrier option under regime-switching exponential mean-reverting process. Zbl 1163.91393
Eloe, P.; Liu, R. H.; Sun, J. Y.
2009
Boundedness and exponential stability of highly nonlinear stochastic differential equations. Zbl 1186.34081
Liu, Ruihua; Raffoul, Youssef
2009
Optimal selling rules in a regime-switching exponential Gaussian diffusion model. Zbl 1175.91079
Eloe, P.; Liu, R. H.; Yatsuki, M.; Yin, G.; Zhang, Q.
2008
Optimality of $$(s,S)$$ policy with compound Poisson and diffusion demands: A quasi-variational inequalities approach. Zbl 1151.90304
Bensoussan, Alain; Liu, R. H.; Sethi, Suresh P.
2006
Option pricing in a regime-switching model using the fast Fourier transform. Zbl 1140.91402
Liu, R. H.; Zhang, Q.; Yin, G.
2006
Stock liquidation via stochastic approximation using Nasdaq daily and intra-day data. Zbl 1128.91031
Yin, G.; Zhang, Q.; Liu, F.; Liu, R. H.; Cheng, Y.
2006
A near-optimal selling rule for a two-time-scale market model. Zbl 1108.91031
Zhang, Q.; Yin, G.; Liu, R. H.
2005
Recursive algorithms for stock liquidation: a stochastic optimization approach. Zbl 1021.91022
Yin, G.; Liu, R. H.; Zhang, Q.
2002
Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time. Zbl 1081.93528
Liu, R. H.; Zhang, Q.; Yin, G.
2002
Nearly optimal control of singularly perturbed Markov decision processes in discrete time. Zbl 0990.90125
Liu, R. H.; Zhang, Q.; Yin, G.
2001
Nearly optimal control of nonlinear Markovian systems subject to weak and strong interactions. Zbl 1011.93112
Liu, R. H.; Zhang, Q.; Yin, G.
2001
Large-deflection bending of symmetrically laminated rectilinearly orthotropic elliptical plates including transverse shear. Zbl 0893.73026
Liu, R.-H.; Xu, J.-C.; Zhai, S.-Z.
1997
A necessary and sufficient condition for stability of a perturbed system. Zbl 0611.93051
Huang, Qiu; Liu, R.
1987
A necessary and sufficient condition for feedback stabilization in a factorial ring. Zbl 0543.93055
Raman, Vijay R.; Liu, R.
1984
Determination of the structure of multivariable stochastic linear systems. Zbl 0384.93012
Suen, Lai Cherng; Liu, R.
1978
Minimal dimension realization and identifiability of input-output sequences. Zbl 0353.93028
Liu, R.; Suen, Lai Cherng
1977
A lower bound on the chromatic number of a graph. Zbl 0233.05105
Myers, B. R.; Liu, R.
1972
On global linearization. Zbl 0244.93015
Liu, R.; Saeks, R.; Leake, R. J.
1971
Bounded-input bounded-output stability of nonlinear time-varying differential systems. Zbl 0196.46101
Varaiya, P. P.; Liu, R.
1966
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#### Cited by 336 Authors

 23 Yin, Gang George 22 Zhang, Qing 8 Ma, Jingtang 7 Bensoussan, Alain 7 Yamazaki, Kazutoshi 6 Liu, Ruihua 4 Benkherouf, Lakdere 4 Han, Zhengzhi 4 Khaliq, Abdul Q. M. 4 Liu, RongHua 4 Pérez Garmendia, Jose Luis 4 Siu, Tak Kuen 4 Song, Qingshuo 4 Yao, Dacheng 4 Yin, George Gang 4 Zhou, Zhiqiang 3 Company, Rafael 3 Ding, Deng 3 Egorova, Vera N. 3 Fan, Kun 3 Jódar Sanchez, Lucas Antonio 3 Liu, Rong 3 Lu, Xianggang 3 Mao, Xuerong 3 Wang, Rongming 3 Zhang, Junfeng 3 Zhu, Chao 3 Zhu, Fubo 3 Zhu, Songping 2 Abedi, Fakhreddin 2 Ademola, Adeleke Timothy 2 Ahmadi, Zaniar 2 Azari, Hossein 2 Ballestra, Luca Vincenzo 2 Bayraktar, Erhan 2 Cecere, Liliana 2 Chen, Xu 2 Ching, Wai-Ki 2 Cui, Zhenyu 2 Escobar, Marcos 2 Foroush Bastani, Ali 2 Haghi, Majid 2 He, Xinjiang 2 Hernández-Hernández, Daniel 2 Hieber, Peter 2 Hosseini, Seyed Mohammad 2 Ignatieva, Katja 2 Johnson, Michael James 2 Lars Kirkby, J. 2 Lei, Siulong 2 Leong, Wah June 2 Liu, Jingzhen 2 Liu, Ruoheng 2 Liu, Yuanjin 2 Ma, Zhidan 2 Mollapourasl, Reza 2 Neykova, Daniela 2 Nguyen, Duy-Minh 2 Ning, Lijuan 2 Ramponi, Alessandro 2 Sethi, Suresh P. 2 Sewell, Granville 2 Shen, Yang 2 Skaaning, Sonny 2 Soleymani, Fazlollah 2 Song, Andrew 2 Tangman, Désiré Yannick 2 Thakoor, Nawdha 2 Tour, Geraldine 2 Wang, Wenfei 2 Weerasinghe, Ananda P. N. 2 Xi, Fubao 2 Yang, Hailiang 2 Yang, Qingqing 2 Yin, Kewen 2 Yiu, Ka Fai Cedric 2 Yousuf, Muhammad Irfan 2 Zagst, Rudi 2 Zeng, Xiangchen 2 Zhang, Hanqin 2 Zhang, Zhimin 2 Ziveyi, Jonathan 1 Abou-El-Ela, A. M. A. 1 Adesina, Olufemi Adeyinka 1 Albrecher, Hansjörg 1 Alrabeei, Salah 1 Al-saedi, Ahmed Eid Salem 1 Altarovici, Albert 1 Asante-Asamani, E. O. 1 Azcue, Pablo 1 Bacciotti, Andrea 1 Badowski, Grazyna 1 Bai, Yang 1 Barron, Yonit 1 Basu, Ranojoy 1 Baurdoux, Erik Jan 1 Berntsson, Fredrik 1 Bian, Baojun 1 Boutoulout, Ali 1 Çakanyıldırım, Metin ...and 236 more Authors
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#### Cited in 88 Serials

 14 Automatica 11 Computers & Mathematics with Applications 11 Journal of Computational and Applied Mathematics 8 Journal of Optimization Theory and Applications 8 SIAM Journal on Control and Optimization 7 Insurance Mathematics & Economics 7 International Journal of Theoretical and Applied Finance 6 Quantitative Finance 5 Journal of Mathematical Analysis and Applications 5 International Journal of Computer Mathematics 5 Stochastic Processes and their Applications 4 Stochastic Analysis and Applications 4 European Journal of Operational Research 3 Applied Mathematics and Optimization 3 Systems & Control Letters 3 Operations Research Letters 3 Journal of Scientific Computing 3 Methodology and Computing in Applied Probability 3 Stochastic Models 3 Stochastics 3 Annals of Finance 2 International Journal of Control 2 Applied Numerical Mathematics 2 Numerical Methods for Partial Differential Equations 2 Journal of Economic Dynamics & Control 2 Journal of Applied Mathematics and Stochastic Analysis 2 Annals of Operations Research 2 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 2 Mathematical Problems in Engineering 2 Mathematical Finance 2 Abstract and Applied Analysis 2 Discrete Dynamics in Nature and Society 2 Nonlinear Analysis. Real World Applications 2 Discrete and Continuous Dynamical Systems. Series B 2 Review of Derivatives Research 2 Journal of Industrial and Management Optimization 2 Nonlinear Analysis. Hybrid Systems 1 Acta Mechanica 1 Advances in Applied Probability 1 Discrete Applied Mathematics 1 Journal of Computational Physics 1 Mathematical Biosciences 1 Physica A 1 Chaos, Solitons and Fractals 1 BIT 1 Journal of Econometrics 1 Mathematics of Operations Research 1 Mathematica Slovaca 1 Operations Research 1 Rendiconti del Circolo Matemàtico di Palermo. Serie II 1 Statistics & Probability Letters 1 Acta Applicandae Mathematicae 1 Acta Mathematicae Applicatae Sinica. English Series 1 Computers & Operations Research 1 Asia-Pacific Journal of Operational Research 1 Applied Mathematics Letters 1 Mathematical and Computer Modelling 1 MCSS. Mathematics of Control, Signals, and Systems 1 Japan Journal of Industrial and Applied Mathematics 1 Linear Algebra and its Applications 1 Computational and Applied Mathematics 1 Monte Carlo Methods and Applications 1 Bernoulli 1 INFORMS Journal on Computing 1 European Journal of Control 1 Nonlinear Dynamics 1 Vietnam Journal of Mathematics 1 Mathematical Methods of Operations Research 1 Communications in Nonlinear Science and Numerical Simulation 1 The ANZIAM Journal 1 Differentsial’nye Uravneniya i Protsessy Upravleniya 1 ASTIN Bulletin 1 Advances in Difference Equations 1 International Journal of Control, I. Series 1 Frontiers of Mathematics in China 1 AStA. Advances in Statistical Analysis 1 Journal of Nonlinear Science and Applications 1 Asian Journal of Control 1 Mathematical Control and Related Fields 1 S$$\vec{\text{e}}$$MA Journal 1 Journal of Applied Analysis and Computation 1 Stochastic Systems 1 Journal of Mathematics 1 International Journal of Analysis 1 Chinese Journal of Mathematics 1 Open Mathematics 1 International Journal of Systems Science. Principles and Applications of Systems and Integration 1 Results in Applied Mathematics
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#### Cited in 26 Fields

 108 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 95 Probability theory and stochastic processes (60-XX) 72 Systems theory; control (93-XX) 44 Numerical analysis (65-XX) 33 Operations research, mathematical programming (90-XX) 23 Calculus of variations and optimal control; optimization (49-XX) 15 Partial differential equations (35-XX) 14 Ordinary differential equations (34-XX) 7 Statistics (62-XX) 5 Integral equations (45-XX) 5 Biology and other natural sciences (92-XX) 4 Real functions (26-XX) 3 Special functions (33-XX) 3 Integral transforms, operational calculus (44-XX) 3 Computer science (68-XX) 2 Combinatorics (05-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Mechanics of particles and systems (70-XX) 2 Information and communication theory, circuits (94-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Approximations and expansions (41-XX) 1 Operator theory (47-XX) 1 General topology (54-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX)