×

zbMATH — the first resource for mathematics

Liu, Ruihua

Compute Distance To:
Author ID: liu.ruihua Recent zbMATH articles by "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

Publications by Year

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.
43
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.
38
2006
New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127
Khaliq, A. Q. M.; Liu, R. H.
27
2009
Regime-switching recombining tree for option pricing. Zbl 1233.91284
Liu, R. H.
26
2010
Option pricing in a regime-switching model using the fast Fourier transform. Zbl 1140.91402
Liu, R. H.; Zhang, Q.; Yin, G.
26
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.
17
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.
14
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.
14
2013
A new tree method for pricing financial derivatives in a regime-switching mean-reverting model. Zbl 1254.91726
Liu, R. H.
13
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.
11
2006
A near-optimal selling rule for a two-time-scale market model. Zbl 1108.91031
Zhang, Q.; Yin, G.; Liu, R. H.
11
2005
Double barrier option under regime-switching exponential mean-reverting process. Zbl 1163.91393
Eloe, P.; Liu, R. H.; Sun, J. Y.
9
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.
8
2015
A tree approach to options pricing under regime-switching jump diffusion models. Zbl 1335.91106
Liu, R. H.; Nguyen, D.
7
2015
Numerical schemes for option pricing in regime-switching jump diffusion models. Zbl 1290.91180
Florescu, Ionut; Liu, Ruihua; Mariani, Maria Cristina; Sewell, Granville
6
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
6
2012
Bounded-input bounded-output stability of nonlinear time-varying differential systems. Zbl 0196.46101
Varaiya, P. P.; Liu, R.
6
1966
Optimal stopping of switching diffusions with state dependent switching rates. Zbl 1337.60075
Liu, R. H.
5
2016
A recombining tree method for option pricing with state-dependent switching rates. Zbl 1337.91102
Jiang, J. X.; Liu, R. H.; Nguyen, D.
5
2016
Boundedness and exponential stability of highly nonlinear stochastic differential equations. Zbl 1186.34081
Liu, Ruihua; Raffoul, Youssef
5
2009
Nearly optimal control of singularly perturbed Markov decision processes in discrete time. Zbl 0990.90125
Liu, R. H.; Zhang, Q.; Yin, G.
5
2001
Optimal investment and consumption with proportional transaction costs in regime-switching model. Zbl 1311.49105
Liu, Ruihua
4
2014
Response of Duffing system with delayed feedback control under bounded noise excitation. Zbl 1293.70074
Feng, Chang Shui; Liu, R.
4
2012
Generalized Christoffel functions for Jacobi-exponential weights on \([-1, 1]\). Zbl 1374.42050
Liu, R.; Shi, Y. G.
3
2016
Upper and lower solutions for regime-switching diffusions with applications in financial mathematics. Zbl 1238.91131
Eloe, P.; Liu, R. H.
3
2011
Minimal dimension realization and identifiability of input-output sequences. Zbl 0353.93028
Liu, R.; Suen, Lai Cherng
3
1977
A finite-horizon optimal investment and consumption problem using regime-switching models. Zbl 1305.91223
Liu, R. H.
2
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
2
2011
Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time. Zbl 1081.93528
Liu, R. H.; Zhang, Q.; Yin, G.
2
2002
Nearly optimal control of nonlinear Markovian systems subject to weak and strong interactions. Zbl 1011.93112
Liu, R. H.; Zhang, Q.; Yin, G.
2
2001
A necessary and sufficient condition for feedback stabilization in a factorial ring. Zbl 0543.93055
Raman, Vijay R.; Liu, R.
2
1984
A lower bound on the chromatic number of a graph. Zbl 0233.05105
Myers, B. R.; Liu, R.
2
1972
On global linearization. Zbl 0244.93015
Liu, R.; Saeks, R.; Leake, R. J.
2
1971
Valuation of guaranteed equity-linked life insurance under regime-switching models. Zbl 1234.93095
Liu, R. H.; Zhang, Qing
1
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.
1
1997
A necessary and sufficient condition for stability of a perturbed system. Zbl 0611.93051
Huang, Qiu; Liu, R.
1
1987
Determination of the structure of multivariable stochastic linear systems. Zbl 0384.93012
Suen, Lai Cherng; Liu, R.
1
1978
Optimal stopping of switching diffusions with state dependent switching rates. Zbl 1337.60075
Liu, R. H.
5
2016
A recombining tree method for option pricing with state-dependent switching rates. Zbl 1337.91102
Jiang, J. X.; Liu, R. H.; Nguyen, D.
5
2016
Generalized Christoffel functions for Jacobi-exponential weights on \([-1, 1]\). Zbl 1374.42050
Liu, R.; Shi, Y. G.
3
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.
8
2015
A tree approach to options pricing under regime-switching jump diffusion models. Zbl 1335.91106
Liu, R. H.; Nguyen, D.
7
2015
Optimal investment and consumption with proportional transaction costs in regime-switching model. Zbl 1311.49105
Liu, Ruihua
4
2014
A finite-horizon optimal investment and consumption problem using regime-switching models. Zbl 1305.91223
Liu, R. H.
2
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.
14
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.
14
2013
Numerical schemes for option pricing in regime-switching jump diffusion models. Zbl 1290.91180
Florescu, Ionut; Liu, Ruihua; Mariani, Maria Cristina; Sewell, Granville
6
2013
A new tree method for pricing financial derivatives in a regime-switching mean-reverting model. Zbl 1254.91726
Liu, R. H.
13
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
6
2012
Response of Duffing system with delayed feedback control under bounded noise excitation. Zbl 1293.70074
Feng, Chang Shui; Liu, R.
4
2012
Upper and lower solutions for regime-switching diffusions with applications in financial mathematics. Zbl 1238.91131
Eloe, P.; Liu, R. H.
3
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
2
2011
Valuation of guaranteed equity-linked life insurance under regime-switching models. Zbl 1234.93095
Liu, R. H.; Zhang, Qing
1
2011
Regime-switching recombining tree for option pricing. Zbl 1233.91284
Liu, R. H.
26
2010
New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127
Khaliq, A. Q. M.; Liu, R. H.
27
2009
Double barrier option under regime-switching exponential mean-reverting process. Zbl 1163.91393
Eloe, P.; Liu, R. H.; Sun, J. Y.
9
2009
Boundedness and exponential stability of highly nonlinear stochastic differential equations. Zbl 1186.34081
Liu, Ruihua; Raffoul, Youssef
5
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.
17
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.
38
2006
Option pricing in a regime-switching model using the fast Fourier transform. Zbl 1140.91402
Liu, R. H.; Zhang, Q.; Yin, G.
26
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.
11
2006
A near-optimal selling rule for a two-time-scale market model. Zbl 1108.91031
Zhang, Q.; Yin, G.; Liu, R. H.
11
2005
Recursive algorithms for stock liquidation: a stochastic optimization approach. Zbl 1021.91022
Yin, G.; Liu, R. H.; Zhang, Q.
43
2002
Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time. Zbl 1081.93528
Liu, R. H.; Zhang, Q.; Yin, G.
2
2002
Nearly optimal control of singularly perturbed Markov decision processes in discrete time. Zbl 0990.90125
Liu, R. H.; Zhang, Q.; Yin, G.
5
2001
Nearly optimal control of nonlinear Markovian systems subject to weak and strong interactions. Zbl 1011.93112
Liu, R. H.; Zhang, Q.; Yin, G.
2
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.
1
1997
A necessary and sufficient condition for stability of a perturbed system. Zbl 0611.93051
Huang, Qiu; Liu, R.
1
1987
A necessary and sufficient condition for feedback stabilization in a factorial ring. Zbl 0543.93055
Raman, Vijay R.; Liu, R.
2
1984
Determination of the structure of multivariable stochastic linear systems. Zbl 0384.93012
Suen, Lai Cherng; Liu, R.
1
1978
Minimal dimension realization and identifiability of input-output sequences. Zbl 0353.93028
Liu, R.; Suen, Lai Cherng
3
1977
A lower bound on the chromatic number of a graph. Zbl 0233.05105
Myers, B. R.; Liu, R.
2
1972
On global linearization. Zbl 0244.93015
Liu, R.; Saeks, R.; Leake, R. J.
2
1971
Bounded-input bounded-output stability of nonlinear time-varying differential systems. Zbl 0196.46101
Varaiya, P. P.; Liu, R.
6
1966
all top 5

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
all top 5

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

Citations by Year