# zbMATH — the first resource for mathematics

## Zhang, Qing

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 Author ID: zhang.qing Published as: Zhang, Q.; Zhang, Qing Homepage: http://www.math.uga.edu/directory/qing-zhang External Links: MGP · Wikidata · dblp
 Documents Indexed: 188 Publications since 1988, including 10 Books
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#### Co-Authors

 13 single-authored 73 Yin, Gang George 25 Sethi, Suresh P. 15 Yin, George Gang 14 Zhang, Hanqin 13 Liu, Ruihua 9 Boukas, El-Kébir 7 Liu, Yuanjin 6 Badowski, Grazyna 5 Tie, Jingzhi 5 Yin, Kewen 4 Nguyen, Duy Khuong 4 Yan, Houmin 4 Zhang, Caojin 3 Dai, Min 3 Haussmann, Ulrich G. 3 Kannan, Devika 3 Khas’minskiĭ, Rafail Zalmanovich 3 Moore, John Barratt 3 Pemy, Moustapha 3 Presman, Ernst L. 3 Song, Qingshuo 3 Taksar, Michael I. 3 Wu, Zhen 3 Yang, Hailang 3 Zhou, Xunyu 3 Zhu, Qiji Jim 2 Fleming, Wendell Helms 2 Guo, Xianping 2 Kong, Hoi Tin 2 Li, Xiaofan 2 Prager, David 2 Rushton, J. Nelson 2 Suo, Wulin 2 Wang, Jiawen 2 Wang, Leyi 2 Yang, Zhixin 2 Yu, Jie 1 Bao, Jianyang 1 Belu, A. 1 Bian, Baojun 1 Cheng, Yaosong 1 Duncan, Tyrone E. 1 Eloe, Paul W. 1 Gershon, Y. 1 Guo, Xin 1 He, Qi 1 Hou, Yumei 1 Jiang, Jiewei 1 Jiang, Lishang 1 Kuo, Kevin 1 Liu, Feilei 1 Liu, Qiaoge 1 Liu, Qinggui 1 Liu, Qinguo 1 Liu, Ruyi 1 Lu, Xianggang 1 Luu, Phong Thanh 1 Lv, Siyu 1 McEneaney, William M. 1 Miao, Shuming 1 Pasik-Duncan, Bozenna 1 Perkerson, Eric 1 Soner, Halil Mete 1 Song, Dongping 1 Tao, Ran 1 Thompson, Katherine Jenny 1 Wang, Jianwen 1 Wang, Jinwei 1 Yang, Jie 1 Yang, Jie 1 Yang, Zhou 1 Yao, David D. W. 1 Yatsuki, M. 1 Yu, Linmei 1 Zhang, Hongwei 1 Zhong, Yifei 1 Zhou, Xiaoye 1 Zhuang, Chengsan 1 Zhuang, Chungang 1 Zhuang, Ci
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#### Serials

 19 Journal of Optimization Theory and Applications 11 Journal of Mathematical Analysis and Applications 10 SIAM Journal on Control and Optimization 8 Automatica 8 IEEE Transactions on Automatic Control 6 Stochastics and Stochastics Reports 5 Applied Mathematics and Optimization 5 Stochastic Analysis and Applications 5 Mathematical Control and Related Fields 4 Dynamic Systems and Applications 4 SIAM Journal on Applied Mathematics 3 Journal of Systems Science and Complexity 2 Mathematics of Operations Research 2 Optimal Control Applications & Methods 2 The Annals of Applied Probability 2 Dynamics of Continuous, Discrete and Impulsive Systems 2 Mathematical Finance 2 Discrete and Continuous Dynamical Systems. Series B 2 Communications in Information and Systems 2 Stochastic Modelling and Applied Probability 2 Nonlinear Analysis. Theory, Methods & Applications 2 Applications of Mathematics 1 Advances in Applied Probability 1 IEEE Transactions on Information Theory 1 Journal of Multivariate Analysis 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Quarterly of Applied Mathematics 1 Systems & Control Letters 1 Journal of Systems Science and Mathematical Sciences 1 IMA Journal of Mathematical Control and Information 1 MCSS. Mathematics of Control, Signals, and Systems 1 Journal of Applied Mathematics and Stochastic Analysis 1 IEEE Transactions on Signal Processing 1 M$$^3$$AS. Mathematical Models & Methods in Applied Sciences 1 International Journal of Computer Mathematics 1 Stochastic Processes and their Applications 1 SIAM Journal on Optimization 1 Neural, Parallel & Scientific Computations 1 Acta Mathematica Sinica. English Series 1 Probability in the Engineering and Informational Sciences 1 The ANZIAM Journal 1 Multiscale Modeling & Simulation 1 Journal of Control Theory and Applications 1 Contemporary Mathematics 1 The IMA Volumes in Mathematics and its Applications 1 Lecture Notes in Control and Information Sciences 1 International Series in Operations Research & Management Science 1 Nonlinear Analysis. Hybrid Systems 1 SIAM Journal on Financial Mathematics
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#### Fields

 103 Systems theory; control (93-XX) 76 Probability theory and stochastic processes (60-XX) 58 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 52 Operations research, mathematical programming (90-XX) 25 Calculus of variations and optimal control; optimization (49-XX) 12 Ordinary differential equations (34-XX) 9 Statistics (62-XX) 7 Numerical analysis (65-XX) 5 General and overarching topics; collections (00-XX) 2 Information and communication theory, circuits (94-XX) 1 Partial differential equations (35-XX) 1 Difference and functional equations (39-XX) 1 Operator theory (47-XX)

#### Citations contained in zbMATH

118 Publications have been cited 1,196 times in 593 Documents Cited by Year
Continuous-time Markov chains and applications. A singular perturbation approach. Zbl 0896.60039
Yin, G. George; Zhang, Qing
1998
Hierarchical decision making in stochastic manufacturing systems. Zbl 0923.90002
Sethi, S. P.; Zhang, Q.
1994
Stock trading: an optimal selling rule. Zbl 0990.91014
Zhang, Qing
2001
Closed-form solutions for perpetual American put options with regime switching. Zbl 1061.90082
Guo, Xin; Zhang, Qing
2004
Recursive algorithms for stock liquidation: a stochastic optimization approach. Zbl 1021.91022
Yin, G.; Liu, R. H.; Zhang, Q.
2002
Discrete-time Markov chains. Two-time-scale methods and applications. Zbl 1072.60002
Yin, G. George; Zhang, Qing
2005
Optimal selling rules in a regime switching model. Zbl 1365.60062
Guo, X.; Zhang, Q.
2005
Asymptotic expansions of singularly perturbed systems involving rapidly fluctuating Markov chains. Zbl 0849.34047
Khasminskii, R. Z.; Yin, G.; Zhang, Q.
1996
Trend following trading under a regime switching model. Zbl 1198.91246
Dai, M.; Zhang, Qing; Zhu, Q. J.
2010
A regime-switching model for European options. Zbl 1136.91015
Yao, David D.; Zhang, Qing; Zhou, Xun Yu
2006
Continuous-time Markov chains and applications. A two-time-scale approach. 2nd ed. Zbl 1277.60127
Yin, G. George; Zhang, Qing
2013
Zhang, Hanqin; Zhang, Qing
2008
Option pricing in a regime-switching model using the fast Fourier transform. Zbl 1140.91402
Liu, R. H.; Zhang, Q.; Yin, G.
2006
Robust production and maintenance planning in stochastic manufacturing systems. Zbl 0837.90054
Boukas, E. K.; Zhang, Q.; Yin, G.
1995
Valuation of stock loans with regime switching. Zbl 1188.91226
Zhang, Qing; Zhou, Xun Yu
2009
Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states. Zbl 1054.60078
Yin, G.; Zhang, Q.; Badowski, G.
2000
Nearly-optimal asset allocation in hybrid stock investment models. Zbl 1090.91049
Zhang, Q.; Yin, G.
2004
Discrete-time singularly perturbed Markov chains: Aggregation, occupation measures, and switching diffusion limit. Zbl 1048.60058
Yin, G.; Zhang, Q.; Badowski, G.
2003
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
Optimal stock liquidation in a regime switching model with finite time horizon. Zbl 1160.91359
Pemy, M.; Zhang, Q.
2006
Optimal production planning in a stochastic manufacturing system with long-run average cost. Zbl 0886.90084
Sethi, S. P.; Suo, W.; Taksar, M. I.; Zhang, Q.
1997
Constructing asymptotic series for probability distributions of Markov chains with weak and strong interactions. Zbl 0870.34058
Khasminskii, R. Z.; Yin, G.; Zhang, Q.
1997
Stochastic optimization methods for buying-low-and-selling-high strategies. Zbl 1163.62341
Song, Q. S.; Yin, G.; Zhang, Q.
2009
Liquidation of a large block of stock with regime switching. Zbl 1214.91106
Pemy, Moustapha; Zhang, Qing; Yin, G. George
2008
Singularly perturbed discrete-time Markov chains. Zbl 0972.60068
Yin, G.; Zhang, Q.
2000
Hybrid filtering for linear systems with non-Gaussian disturbances. Zbl 0978.93075
Zhang, Qing
2000
On nearly optimal controls of hybrid LQG problems. Zbl 1136.93466
Zhang, Qing; Yin, Gang George
1999
Hierarchical controls in stochastic manufacturing systems with machines in tandem. Zbl 0757.60101
Sethi, Suresh; Zhang, Qing; Zhou, Xun Yu
1992
An optimal pairs-trading rule. Zbl 1358.93191
Song, Qingshuo; Zhang, Qing
2013
A numerical method in optimal production and setup scheduling of stochastic manufacturing systems. Zbl 0892.90094
Yan, H.; Zhang, Q.
1997
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
Optimal control of a marketing-production system. Zbl 1017.90035
Zhang, Qing; Yin, Gang George; Boukas, El-Kebir
2001
Risk-sensitive production planning of a stochastic manufacturing system. Zbl 0915.93069
Fleming, W. H.; Zhang, Q.
1998
Optimal filtering of discrete-time hybrid systems. Zbl 0926.93064
Zhang, Qing
1999
Turnpike sets and their analysis in stochastic production planning problems. Zbl 0770.90030
Sethi, S.; Soner, H. M.; Zhang, Q.; Jiang, J.
1992
Minimax production planning in failure-prone manufacturing systems. Zbl 0839.90055
Boukas, E. K.; Yang, H.; Zhang, Q.
1995
Optimal feedback production planning in a stochastic $$N$$-machine flowshop. Zbl 0834.90068
Presman, Ernst; Sethi, Suresh; Zhang, Qing
1995
Piecewise deterministic Markov process model for flexible manufacturing systems with preventive maintenance. Zbl 0824.90071
Boukas, E. K.; Zhu, Q.; Zhang, Q.
1994
Structural properties of Markov chains with weak and strong interactions. Zbl 0913.60068
Zhang, Q.; Yin, G.
1997
Nonlinear filtering and control of a switching diffusion with small observation noise. Zbl 0911.93050
Zhang, Qing
1998
A central limit theorem for singularly perturbed nonstationary finite state Markov chains. Zbl 0855.60018
Zhang, Q.; Yin, G.
1996
Multilevel hierarchical decision making in stochastic marketing- production systems. Zbl 0826.93070
Sethi, S. P.; Zhang, Q.
1995
Large deviations for two-time-scale systems driven by nonhomogeneous Markov chains and associated optimal control problems. Zbl 1228.60083
He, Qi; Yin, George; Zhang, Qing
2011
Average-cost control of stochastic manufacturing systems. Zbl 1078.93004
Sethi, Suresh; Zhang, Hanqin; Zhang, Qing
2005
Risk-sensitive production planning of stochastic manufacturing systems: A singular perturbation approach. Zbl 0834.90072
Zhang, Qing
1995
Optimal trend following trading rules. Zbl 1336.91063
Dai, Min; Yang, Zhou; Zhang, Qing; Zhu, Qiji Jim
2016
BSDEs with regime switching: weak convergence and applications. Zbl 1306.60080
Tao, Ran; Wu, Zhen; Zhang, Qing
2013
Constrained stochastic estimation algorithms for a class of hybrid stock market models. Zbl 1050.91053
Yin, G.; Zhang, Q.; Yin, K.
2003
Nearly optimal control of singularly perturbed Markov decision processes in discrete time. Zbl 0990.90125
Liu, R. H.; Zhang, Q.; Yin, G.
2001
Asymptotic optimal controls in stochastic manufacturing systems with machine failures dependent on production rates. Zbl 0828.93065
Sethi, Suresh P.; Zhang, Qing
1994
Hierarchical production planning in dynamic stochastic manufacturing systems: Asymptotic optimality and error bounds. Zbl 0800.93062
Sethi, Suresh; Zhang, Qing
1994
An optimal trading rule under a switchable mean-reversion model. Zbl 1296.91256
Nguyen, Duy; Tie, Jingzhi; Zhang, Qing
2014
Weak convergence methods for approximation of the evaluation of path-dependent functionals. Zbl 1279.93098
Song, Qingshuo; Yin, George; Zhang, Qing
2013
Optimal decision for selling an illiquid stock. Zbl 1251.93017
Bian, Baojun; Dai, Min; Jiang, Lishang; Zhang, Qing; Zhong, Yifei
2011
An optimal trading rule of a mean-reverting asset. Zbl 1203.91323
Kong, Hoi Tin; Zhang, Qing
2010
Stock loan valuation under a regime-switching model with mean-reverting and finite maturity. Zbl 1198.91212
Prager, David; Zhang, Qing
2010
Discrete-time singularly perturbed Markov chains. Zbl 1031.60067
Yin, G.; Zhang, Q.
2003
Robust subspace clustering for multi-view data by exploiting correlation consensus. Zbl 1408.94694
Wang, Yang; Lin, Xuemin; Wu, Lin; Zhang, Wenjie; Zhang, Qing; Huang, Xiaodi
2015
Explicit solutions for an optimal stock selling problem under a Markov chain model. Zbl 1306.91134
Zhang, Q.
2014
A fluid flow model for empty container repositioning policy with a single port and stochastic demand. Zbl 1202.93177
Song, Dong-Ping; Zhang, Qing
2010
Stochastic optimization algorithms for pricing American put options under regime-switching models. Zbl 1109.91362
Yin, G.; Wang, J. W.; Zhang, Q.; Liu, Y. J.
2006
Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers. Zbl 1139.90355
Hou, Yumei; Sethi, Suresh P.; Zhang, Hanqin; Zhang, Qing
2006
Control of singularly perturbed Markov chains: A numerical study. Zbl 1054.93055
Yang, H.; Yin, G.; Yin, K.; Zhang, Q.
2003
Minimum average cost production planning in stochastic manufacturing systems. Zbl 0952.93133
Sethi, Suresh P.; Zhang, Hanqin; Zhang, Qing
1998
Hierarchical production control in a stochastic manufacturing system with long-run average cost. Zbl 0894.90074
Sethi, Suresh P.; Zhang, Hanqin; Zhang, Qing
1997
Turnpike sets in stochastic manufacturing systems with finite time horizon. Zbl 0847.90029
Zhang, Q.; Yin, G.
1994
Hierarchical controls in stochastic manufacturing systems with convex costs. Zbl 0797.90039
Sethi, S. P.; Zhang, Q.; Zhou, X. Y.
1994
Controlled partially observed diffusions with correlated noise. Zbl 0714.93064
Zhang, Qing
1990
Stochastic adaptive control with small observation noise. Zbl 0745.93081
Haussmann, U. G.; Zhang, Qing
1990
An optimal strategy for pairs trading under geometric Brownian motions. Zbl 1418.91491
Tie, Jingzhi; Zhang, Hanqin; Zhang, Qing
2018
A partitioned finite element scheme based on Gauge-Uzawa method for time-dependent MHD equations. Zbl 1388.76160
Zhang, Qing; Su, Haiyan; Feng, Xinlong
2018
Multiple failure modes reliability modeling and analysis in crack growth life based on JC method. Zbl 1426.74264
Sun, YuanTao; Liu, Chao; Zhang, Qing; Qin, XianRong
2017
Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods. Zbl 1410.91495
Lu, Xianggang; Yin, George; Zhang, Qing; Zhang, Caojin; Guo, Xianping
2017
Asset allocation for regime-switching market models under partial observation. Zbl 1307.91170
Yu, L.; Zhang, Q.; Yin, G.
2014
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
Hierarchical production control in dynamic stochastic jobshops with long-run average cost. Zbl 0992.90025
Sethi, S. P.; Zhang, H.; Zhang, Q.
2000
Singularly perturbed Markov chains: Convergence and aggregation. Zbl 0951.60034
Yin, G.; Zhang, Q.; Badowski, G.
2000
A numerical study of singularly perturbed Markov chains: Quasi-equilibrium distributions and scaled occupation measures. Zbl 0946.60074
Li, X.; Yin, G.; Yin, K.; Zhang, Q.
1999
Control of dynamic systems under the influence of singularly perturbed Markov chains. Zbl 0891.93083
Yin, G.; Zhang, Q.
1997
Controlled Markov chains with weak and strong interactions: Asymptotic optimality and applications to manufacturing. Zbl 0886.90081
Zhang, Q.; Yin, G.; Boukas, E. K.
1997
Periodic maintenance and repair rate control in stochastic manufacturing systems. Zbl 0871.90036
Boukas, E. K.; Yang, J.; Zhang, Q.; Yin, G.
1996
Singularly perturbed Markov chains: Quasi-stationary distribution and asymptotic expansion. Zbl 0867.34044
Khasminskii, R. Z.; Yin, G.; Zhang, Q.
1996
An asymptotic analysis of controlled diffusions with rapidly oscillating parameters. Zbl 0806.93063
Zhang, Qing
1993
Optimal control of diffusions with small observation noise. Zbl 0739.93079
Haussmann, U. G.; Zhang, Qing
1990
Optimal switching under a hybrid diffusion model and applications to stock trading. Zbl 1401.93227
Lv, Siyu; Wu, Zhen; Zhang, Qing
2018
Congruence subgroups and super-modular categories. Zbl 06909759
Bonderson, Parsa; Rowell, Eric C.; Wang, Zhenghan; Zhang, Qing
2018
A global mathematical model for the simulation of stenoses and bypass placement in the human arterial system. Zbl 1411.76183
Strocchi, M.; Contarino, C.; Zhang, Q.; Bonmassari, R.; Toro, E. F.
2017
Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications. Zbl 1373.93390
Zhang, Qing; Zhang, Caojin; Yin, George
2017
Mean-variance type controls involving a hidden Markov chain: models and numerical approximation. Zbl 1328.93247
Yang, Zhixin; Yin, George; Zhang, Qing
2015
Variable assessment in latent class models. Zbl 06984017
Zhang, Q.; Ip, E. H.
2014
An optimal inventory-price coordination policy. Zbl 1273.90019
Zhang, Hanqin; Zhang, Qing
2012
Valuation of guaranteed equity-linked life insurance under regime-switching models. Zbl 1234.93095
Liu, R. H.; Zhang, Qing
2011
A trend-following strategy: conditions for optimality. Zbl 1213.91141
Kong, Hoi Tin; Zhang, Qing; Yin, G. George
2011
A stochastic approximation algorithm for option pricing model calibration with a switchable market. Zbl 1203.91300
Yin, G.; Yu, J.; Zhang, Q.
2010
Selling a large stock position: a stochastic control approach with state constraints. Zbl 1140.91406
Pemy, M.; Zhang, Q.; Yin, G.
2007
Stochastic approximation algorithms for parameter estimation in option pricing with regime switching. Zbl 1124.62058
Yin, G.; Zhang, Q.; Zhuang, C.
2007
Two-time-scale hybrid filters: near optimality. Zbl 1132.93047
Wang, J. W.; Zhang, Q.; Yin, G.
2006
Stochastic processes, optimization, and control theory: applications in financial engineering, queueing networks, and manufacturing systems. A volume in honor of Suresh Sethi on the occasion of his 60th birthday. Zbl 1096.90001
Yan, Houmin (ed.); Yin, George (ed.); Zhang, Qing (ed.)
2006
An optimal strategy for pairs trading under geometric Brownian motions. Zbl 1418.91491
Tie, Jingzhi; Zhang, Hanqin; Zhang, Qing
2018
A partitioned finite element scheme based on Gauge-Uzawa method for time-dependent MHD equations. Zbl 1388.76160
Zhang, Qing; Su, Haiyan; Feng, Xinlong
2018
Optimal switching under a hybrid diffusion model and applications to stock trading. Zbl 1401.93227
Lv, Siyu; Wu, Zhen; Zhang, Qing
2018
Congruence subgroups and super-modular categories. Zbl 06909759
Bonderson, Parsa; Rowell, Eric C.; Wang, Zhenghan; Zhang, Qing
2018
Multiple failure modes reliability modeling and analysis in crack growth life based on JC method. Zbl 1426.74264
Sun, YuanTao; Liu, Chao; Zhang, Qing; Qin, XianRong
2017
Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods. Zbl 1410.91495
Lu, Xianggang; Yin, George; Zhang, Qing; Zhang, Caojin; Guo, Xianping
2017
A global mathematical model for the simulation of stenoses and bypass placement in the human arterial system. Zbl 1411.76183
Strocchi, M.; Contarino, C.; Zhang, Q.; Bonmassari, R.; Toro, E. F.
2017
Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications. Zbl 1373.93390
Zhang, Qing; Zhang, Caojin; Yin, George
2017
Optimal trend following trading rules. Zbl 1336.91063
Dai, Min; Yang, Zhou; Zhang, Qing; Zhu, Qiji Jim
2016
Robust subspace clustering for multi-view data by exploiting correlation consensus. Zbl 1408.94694
Wang, Yang; Lin, Xuemin; Wu, Lin; Zhang, Wenjie; Zhang, Qing; Huang, Xiaodi
2015
Mean-variance type controls involving a hidden Markov chain: models and numerical approximation. Zbl 1328.93247
Yang, Zhixin; Yin, George; Zhang, Qing
2015
An optimal trading rule under a switchable mean-reversion model. Zbl 1296.91256
Nguyen, Duy; Tie, Jingzhi; Zhang, Qing
2014
Explicit solutions for an optimal stock selling problem under a Markov chain model. Zbl 1306.91134
Zhang, Q.
2014
Asset allocation for regime-switching market models under partial observation. Zbl 1307.91170
Yu, L.; Zhang, Q.; Yin, G.
2014
Variable assessment in latent class models. Zbl 06984017
Zhang, Q.; Ip, E. H.
2014
Continuous-time Markov chains and applications. A two-time-scale approach. 2nd ed. Zbl 1277.60127
Yin, G. George; Zhang, Qing
2013
An optimal pairs-trading rule. Zbl 1358.93191
Song, Qingshuo; Zhang, Qing
2013
BSDEs with regime switching: weak convergence and applications. Zbl 1306.60080
Tao, Ran; Wu, Zhen; Zhang, Qing
2013
Weak convergence methods for approximation of the evaluation of path-dependent functionals. Zbl 1279.93098
Song, Qingshuo; Yin, George; Zhang, Qing
2013
An optimal inventory-price coordination policy. Zbl 1273.90019
Zhang, Hanqin; Zhang, Qing
2012
Large deviations for two-time-scale systems driven by nonhomogeneous Markov chains and associated optimal control problems. Zbl 1228.60083
He, Qi; Yin, George; Zhang, Qing
2011
Optimal decision for selling an illiquid stock. Zbl 1251.93017
Bian, Baojun; Dai, Min; Jiang, Lishang; Zhang, Qing; Zhong, Yifei
2011
Valuation of guaranteed equity-linked life insurance under regime-switching models. Zbl 1234.93095
Liu, R. H.; Zhang, Qing
2011
A trend-following strategy: conditions for optimality. Zbl 1213.91141
Kong, Hoi Tin; Zhang, Qing; Yin, G. George
2011
Trend following trading under a regime switching model. Zbl 1198.91246
Dai, M.; Zhang, Qing; Zhu, Q. J.
2010
An optimal trading rule of a mean-reverting asset. Zbl 1203.91323
Kong, Hoi Tin; Zhang, Qing
2010
Stock loan valuation under a regime-switching model with mean-reverting and finite maturity. Zbl 1198.91212
Prager, David; Zhang, Qing
2010
A fluid flow model for empty container repositioning policy with a single port and stochastic demand. Zbl 1202.93177
Song, Dong-Ping; Zhang, Qing
2010
A stochastic approximation algorithm for option pricing model calibration with a switchable market. Zbl 1203.91300
Yin, G.; Yu, J.; Zhang, Q.
2010
Valuation of stock loans with regime switching. Zbl 1188.91226
Zhang, Qing; Zhou, Xun Yu
2009
Stochastic optimization methods for buying-low-and-selling-high strategies. Zbl 1163.62341
Song, Q. S.; Yin, G.; Zhang, Q.
2009
Zhang, Hanqin; Zhang, Qing
2008
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
Liquidation of a large block of stock with regime switching. Zbl 1214.91106
Pemy, Moustapha; Zhang, Qing; Yin, G. George
2008
Selling a large stock position: a stochastic control approach with state constraints. Zbl 1140.91406
Pemy, M.; Zhang, Q.; Yin, G.
2007
Stochastic approximation algorithms for parameter estimation in option pricing with regime switching. Zbl 1124.62058
Yin, G.; Zhang, Q.; Zhuang, C.
2007
A regime-switching model for European options. Zbl 1136.91015
Yao, David D.; Zhang, Qing; Zhou, Xun Yu
2006
Option pricing in a regime-switching model using the fast Fourier transform. Zbl 1140.91402
Liu, R. H.; Zhang, Q.; Yin, G.
2006
Optimal stock liquidation in a regime switching model with finite time horizon. Zbl 1160.91359
Pemy, M.; Zhang, Q.
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
Stochastic optimization algorithms for pricing American put options under regime-switching models. Zbl 1109.91362
Yin, G.; Wang, J. W.; Zhang, Q.; Liu, Y. J.
2006
Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers. Zbl 1139.90355
Hou, Yumei; Sethi, Suresh P.; Zhang, Hanqin; Zhang, Qing
2006
Two-time-scale hybrid filters: near optimality. Zbl 1132.93047
Wang, J. W.; Zhang, Q.; Yin, G.
2006
Stochastic processes, optimization, and control theory: applications in financial engineering, queueing networks, and manufacturing systems. A volume in honor of Suresh Sethi on the occasion of his 60th birthday. Zbl 1096.90001
Yan, Houmin (ed.); Yin, George (ed.); Zhang, Qing (ed.)
2006
Discrete-time Markov chains. Two-time-scale methods and applications. Zbl 1072.60002
Yin, G. George; Zhang, Qing
2005
Optimal selling rules in a regime switching model. Zbl 1365.60062
Guo, X.; Zhang, Q.
2005
A near-optimal selling rule for a two-time-scale market model. Zbl 1108.91031
Zhang, Q.; Yin, G.; Liu, R. H.
2005
Average-cost control of stochastic manufacturing systems. Zbl 1078.93004
Sethi, Suresh; Zhang, Hanqin; Zhang, Qing
2005
Computational methods for pricing American put options. Zbl 1116.91046
Liu, Y. J.; Yin, G.; Zhang, Q.
2005
Closed-form solutions for perpetual American put options with regime switching. Zbl 1061.90082
Guo, Xin; Zhang, Qing
2004
Nearly-optimal asset allocation in hybrid stock investment models. Zbl 1090.91049
Zhang, Q.; Yin, G.
2004
Pricing defaultable bond with regime switching. Zbl 1101.91052
Wang, J. W.; Zhang, Qing
2004
Exponential bounds for discrete-time singularly perturbed Markov chains. Zbl 1049.60065
Zhang, Q.; Yin, G.
2004
Discrete-time singularly perturbed Markov chains: Aggregation, occupation measures, and switching diffusion limit. Zbl 1048.60058
Yin, G.; Zhang, Q.; Badowski, G.
2003
Constrained stochastic estimation algorithms for a class of hybrid stock market models. Zbl 1050.91053
Yin, G.; Zhang, Q.; Yin, K.
2003
Discrete-time singularly perturbed Markov chains. Zbl 1031.60067
Yin, G.; Zhang, Q.
2003
Control of singularly perturbed Markov chains: A numerical study. Zbl 1054.93055
Yang, H.; Yin, G.; Yin, K.; Zhang, Q.
2003
Stability of Markov modulated discrete-time dynamic systems. Zbl 1175.93236
Yin, G.; Zhang, Q.
2003
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
Stock trading: an optimal selling rule. Zbl 0990.91014
Zhang, Qing
2001
Optimal control of a marketing-production system. Zbl 1017.90035
Zhang, Qing; Yin, Gang George; Boukas, El-Kebir
2001
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
Discrete-time dynamic systems arising from singularly perturbed Markov chains. Zbl 1042.60523
Yin, G.; Zhang, Q.; Yang, H.; Yin, K.
2001
Random-direction optimization algorithms with applications to threshold controls. Zbl 0983.93074
Yin, G.; Zhang, Q.; Yan, H. M.; Boukas, E. K.
2001
Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states. Zbl 1054.60078
Yin, G.; Zhang, Q.; Badowski, G.
2000
Singularly perturbed discrete-time Markov chains. Zbl 0972.60068
Yin, G.; Zhang, Q.
2000
Hybrid filtering for linear systems with non-Gaussian disturbances. Zbl 0978.93075
Zhang, Qing
2000
Hierarchical production control in dynamic stochastic jobshops with long-run average cost. Zbl 0992.90025
Sethi, S. P.; Zhang, H.; Zhang, Q.
2000
Singularly perturbed Markov chains: Convergence and aggregation. Zbl 0951.60034
Yin, G.; Zhang, Q.; Badowski, G.
2000
Hierarchical production control in a stochastic $$N$$-machine flowshop with long-run average cost. Zbl 1044.90039
Sethi, Suresh P.; Zhang, Hanqin; Zhang, Qing
2000
Hierarchical production control in a stochastic $$N$$-machine flowshop with limited buffers. Zbl 0968.90034
Sethi, Suresh P.; Zhang, Hanqin; Zhang, Qing
2000
On nearly optimal controls of hybrid LQG problems. Zbl 1136.93466
Zhang, Qing; Yin, Gang George
1999
Optimal filtering of discrete-time hybrid systems. Zbl 0926.93064
Zhang, Qing
1999
A numerical study of singularly perturbed Markov chains: Quasi-equilibrium distributions and scaled occupation measures. Zbl 0946.60074
Li, X.; Yin, G.; Yin, K.; Zhang, Q.
1999
Adaptive control of stochastic manufacturing systems with hidden Markovian demands and small noise. Zbl 1056.93642
Duncan, T. E.; Pasik-Duncan, B.; Zhang, Q.
1999
Continuous-time Markov chains and applications. A singular perturbation approach. Zbl 0896.60039
Yin, G. George; Zhang, Qing
1998
Risk-sensitive production planning of a stochastic manufacturing system. Zbl 0915.93069
Fleming, W. H.; Zhang, Q.
1998
Nonlinear filtering and control of a switching diffusion with small observation noise. Zbl 0911.93050
Zhang, Qing
1998
Minimum average cost production planning in stochastic manufacturing systems. Zbl 0952.93133
Sethi, Suresh P.; Zhang, Hanqin; Zhang, Qing
1998
Optimality of zero-inventory policies for an unreliable manufacturing system producing two part types. Zbl 0915.90137
Presman, Ernst L.; Sethi, Suresh P.; Zhang, Hanqin; Zhang, Qing
1998
Optimal production planning in a stochastic manufacturing system with long-run average cost. Zbl 0886.90084
Sethi, S. P.; Suo, W.; Taksar, M. I.; Zhang, Q.
1997
Constructing asymptotic series for probability distributions of Markov chains with weak and strong interactions. Zbl 0870.34058
Khasminskii, R. Z.; Yin, G.; Zhang, Q.
1997
A numerical method in optimal production and setup scheduling of stochastic manufacturing systems. Zbl 0892.90094
Yan, H.; Zhang, Q.
1997
Structural properties of Markov chains with weak and strong interactions. Zbl 0913.60068
Zhang, Q.; Yin, G.
1997
Hierarchical production control in a stochastic manufacturing system with long-run average cost. Zbl 0894.90074
Sethi, Suresh P.; Zhang, Hanqin; Zhang, Qing
1997
Control of dynamic systems under the influence of singularly perturbed Markov chains. Zbl 0891.93083
Yin, G.; Zhang, Q.
1997
Controlled Markov chains with weak and strong interactions: Asymptotic optimality and applications to manufacturing. Zbl 0886.90081
Zhang, Q.; Yin, G.; Boukas, E. K.
1997
Manufacturing systems: Wear modeling and numerical procedures. Zbl 0886.90078
Boukas, E. K.; Yang, J.; Yin, G.; Zhang, Q.
1997
Asymptotic expansions of singularly perturbed systems involving rapidly fluctuating Markov chains. Zbl 0849.34047
Khasminskii, R. Z.; Yin, G.; Zhang, Q.
1996
A central limit theorem for singularly perturbed nonstationary finite state Markov chains. Zbl 0855.60018
Zhang, Q.; Yin, G.
1996
Periodic maintenance and repair rate control in stochastic manufacturing systems. Zbl 0871.90036
Boukas, E. K.; Yang, J.; Zhang, Q.; Yin, G.
1996
Singularly perturbed Markov chains: Quasi-stationary distribution and asymptotic expansion. Zbl 0867.34044
Khasminskii, R. Z.; Yin, G.; Zhang, Q.
1996
Finite state Markovian decision processes with weak and strong interactions. Zbl 0869.60068
Zhang, Qing
1996
Robust production and maintenance planning in stochastic manufacturing systems. Zbl 0837.90054
Boukas, E. K.; Zhang, Q.; Yin, G.
1995
Minimax production planning in failure-prone manufacturing systems. Zbl 0839.90055
Boukas, E. K.; Yang, H.; Zhang, Q.
1995
Optimal feedback production planning in a stochastic $$N$$-machine flowshop. Zbl 0834.90068
Presman, Ernst; Sethi, Suresh; Zhang, Qing
1995
Multilevel hierarchical decision making in stochastic marketing- production systems. Zbl 0826.93070
Sethi, S. P.; Zhang, Q.
1995
Risk-sensitive production planning of stochastic manufacturing systems: A singular perturbation approach. Zbl 0834.90072
Zhang, Qing
1995
...and 18 more Documents
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#### Cited by 853 Authors

 82 Yin, Gang George 72 Zhang, Qing 26 Yin, George Gang 21 Boukas, El-Kébir 21 Sethi, Suresh P. 12 Wang, Leyi 12 Zhu, Chao 10 Jin, Zhuo 10 Zhang, Hanqin 8 Costa, Oswaldo Luiz V. 8 Siu, Tak Kuen 7 Kenne, Jean-Pierre 7 Liu, Ruihua 7 Liu, Yuanjin 7 Mao, Xuerong 7 Nguyen, Son Luu 7 Shi, Peng 7 Song, Qingshuo 7 Wu, Zhen 7 Yang, Hailiang 7 Yuan, Chenggui 6 Blanchini, Franco 6 Nguyen, Dung Tien 6 Xi, Fubao 5 Badowski, Grazyna 5 Gharbi, Ali 5 Özekici, Süleyman 5 Pemy, Moustapha 5 Wu, Fuke 5 Zheng, Harry H. 4 Bian, Baojun 4 Dai, Min 4 Gaitsgory, Vladimir A. 4 Ghosh, Mrinal Kanti 4 Goreac, Dan 4 Khas’minskiĭ, Rafail Zalmanovich 4 Leung, Tim 4 Li, Xiaoyue 4 Limnios, Nikolaos 4 Lu, Xianggang 4 Nguyen, Duy Khuong 4 Ocejo, Adriana 4 Petersson, Mikael 4 Tie, Jingzhi 4 Yang, Hailang 4 Yin, Gang 3 Bauso, Dario 3 Bounkhel, Messaoud 3 Çanakoğlu, Ethem 3 Elliott, Robert James 3 Fan, Kun 3 Guo, Xianping 3 Han, Zhengzhi 3 Hoang, Tuan Anh 3 Hu, Junhao 3 Il’in, Arlen Mikhailovich 3 Kan, Shaobai 3 Khaliq, Abdul Q. M. 3 Korolyuk, Volodymyr Semenovych 3 Ledoux, James 3 Liu, Jingzhen 3 Liu, RongHua 3 Liu, Yue 3 Lv, Siyu 3 Ma, Jingtang 3 Ma, Yuechao 3 Menoukeu Pamen, Olivier 3 Pesenti, Raffaele 3 Presman, Ernst L. 3 Rossomakhine, Sergey 3 Shao, Jinghai 3 Shen, Yang 3 Sun, Zhongyang 3 Suo, Wulin 3 Tadj, Lotfi 3 Tao, Ran 3 Thieullen, Michèle 3 Tran, Ky Quan 3 Wang, Rongming 3 Wang, Zheng 3 Xiong, Jie 3 Yan, Houmin 3 Yiu, Ka Fai Cedric 3 Yoshioka, Hidekazu 3 Zhang, Junfeng 3 Zhou, Xun Yu 3 Zhu, Fubo 3 Zhu, Songping 2 Altman, Eitan 2 Anabtawi, M. J. 2 Baran, Nicholas A. 2 Baten, Md. Azizul 2 Benhadid, Yacine 2 Benites, Guilherme R. A. M. 2 Bensoussan, Alain 2 Bin, Ning 2 Buckdahn, Rainer 2 Bui, Trang 2 Cai, Ning 2 Camilli, Fabio ...and 753 more Authors
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#### Cited in 151 Serials

 49 Automatica 39 Journal of Optimization Theory and Applications 27 Journal of Mathematical Analysis and Applications 26 European Journal of Operational Research 18 Stochastic Analysis and Applications 14 Stochastics 13 Quantitative Finance 12 Applied Mathematics and Optimization 12 Journal of Computational and Applied Mathematics 12 SIAM Journal on Control and Optimization 12 Stochastic Processes and their Applications 12 International Journal of Theoretical and Applied Finance 10 Computers & Mathematics with Applications 10 Nonlinear Analysis. Hybrid Systems 9 Insurance Mathematics & Economics 8 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 8 Mathematical Control and Related Fields 7 Advances in Applied Probability 7 Systems & Control Letters 7 Acta Mathematicae Applicatae Sinica. English Series 7 The Annals of Applied Probability 6 Communications in Statistics. Theory and Methods 6 International Journal of Computer Mathematics 6 Mathematical Finance 6 Methodology and Computing in Applied Probability 5 Journal of the Franklin Institute 5 Applied Mathematics and Computation 5 Optimal Control Applications & Methods 5 Operations Research Letters 5 Journal of Economic Dynamics & Control 5 Applied Mathematical Modelling 5 Abstract and Applied Analysis 5 Mathematical Methods of Operations Research 5 Nonlinear Analysis. Real World Applications 4 International Journal of Control 4 International Journal of Production Research 4 Journal of Scientific Computing 4 Annals of Operations Research 4 Mathematical Problems in Engineering 4 Journal of Systems Science and Complexity 3 International Journal of Systems Science 3 Journal of Applied Probability 3 Journal of Differential Equations 3 Statistics & Probability Letters 3 Applied Numerical Mathematics 3 Mathematical and Computer Modelling 3 International Journal of Robust and Nonlinear Control 3 Communications in Nonlinear Science and Numerical Simulation 3 Discrete and Continuous Dynamical Systems. Series B 3 Advances in Difference Equations 3 Journal of Control Theory and Applications 3 Journal of Industrial and Management Optimization 3 Mathematics and Financial Economics 3 SIAM Journal on Financial Mathematics 3 Asian Journal of Control 3 Nonlinear Analysis. Theory, Methods & Applications 3 International Journal of Systems Science. Principles and Applications of Systems and Integration 2 Mathematics of Operations Research 2 Naval Research Logistics 2 Quarterly of Applied Mathematics 2 SIAM Journal on Numerical Analysis 2 Computers & Operations Research 2 Asia-Pacific Journal of Operational Research 2 Applied Mathematics Letters 2 MCSS. Mathematics of Control, Signals, and Systems 2 Journal of Applied Mathematics and Stochastic Analysis 2 Discrete Event Dynamic Systems 2 Linear Algebra and its Applications 2 NoDEA. Nonlinear Differential Equations and Applications 2 Applied Mathematical Finance 2 Finance and Stochastics 2 European Journal of Control 2 Soft Computing 2 Discrete Dynamics in Nature and Society 2 The ANZIAM Journal 2 Scandinavian Actuarial Journal 2 Stochastic Models 2 ASTIN Bulletin 2 Asia-Pacific Financial Markets 2 Journal of Biological Dynamics 2 Frontiers of Mathematics in China 2 Set-Valued and Variational Analysis 2 Symmetry 2 Annals of Finance 1 Journal of Computational Physics 1 Journal of Mathematical Biology 1 Journal of Mathematical Physics 1 Lithuanian Mathematical Journal 1 Mathematical Biosciences 1 Mathematical Methods in the Applied Sciences 1 Metrika 1 Nonlinearity 1 Physica A 1 Bulletin of Mathematical Biology 1 Information Sciences 1 International Journal of Mathematics and Mathematical Sciences 1 Journal of Functional Analysis 1 Journal of Mathematical Economics 1 Journal of Multivariate Analysis 1 Mathematics and Computers in Simulation ...and 51 more Serials
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#### Cited in 31 Fields

 313 Probability theory and stochastic processes (60-XX) 250 Systems theory; control (93-XX) 242 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 126 Operations research, mathematical programming (90-XX) 84 Calculus of variations and optimal control; optimization (49-XX) 53 Numerical analysis (65-XX) 43 Partial differential equations (35-XX) 41 Ordinary differential equations (34-XX) 28 Statistics (62-XX) 18 Biology and other natural sciences (92-XX) 7 Computer science (68-XX) 6 Integral equations (45-XX) 5 Operator theory (47-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Fluid mechanics (76-XX) 2 Integral transforms, operational calculus (44-XX) 2 Classical thermodynamics, heat transfer (80-XX) 2 Information and communication theory, circuits (94-XX) 1 Combinatorics (05-XX) 1 Number theory (11-XX) 1 Field theory and polynomials (12-XX) 1 Associative rings and algebras (16-XX) 1 Nonassociative rings and algebras (17-XX) 1 Category theory; homological algebra (18-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Functional analysis (46-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Quantum theory (81-XX)

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