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Lingjiong Zhu, Ph.D. - Publications

Affiliations: 
Florida State University, Tallahassee, FL, United States 
 2013 Mathematics New York University, New York, NY, United States 
Area:
Mathematics, Finance, Statistics, Applied Mathematics
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27 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Pirjol D, Zhu L. Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface Probability in the Engineering and Informational Sciences. 1-33. DOI: 10.1017/S0269964820000248  0.364
2019 Pirjol D, Zhu L. Short Maturity Asian Options for the CEV Model Probability in the Engineering and Informational Sciences. 33: 258-290. DOI: 10.1017/S0269964818000165  0.312
2018 Gao X, Zhu L. Large deviations and applications for Markovian Hawkes processes with a large initial intensity Bernoulli. 24: 2875-2905. DOI: 10.3150/17-Bej948  0.342
2018 Pirjol D, Zhu L. Sensitivities Of Asian Options In The Black–Scholes Model International Journal of Theoretical and Applied Finance. 21: 1850008. DOI: 10.1142/S0219024918500085  0.306
2018 Gao X, Zhou X, Zhu L. Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading Quantitative Finance. 18: 265-282. DOI: 10.1080/14697688.2017.1403151  0.369
2018 Aristoff D, Zhu L. On the phase transition curve in a directed exponential random graph model Advances in Applied Probability. 50: 272-301. DOI: 10.1017/Apr.2018.13  0.3
2018 Gao F, Zhu L. Some asymptotic results for nonlinear Hawkes processes Stochastic Processes and Their Applications. 128: 4051-4077. DOI: 10.1016/J.Spa.2018.01.007  0.366
2018 Gao X, Zhu L. Limit theorems for Markovian Hawkes processes with a large initial intensity Stochastic Processes and Their Applications. 128: 3807-3839. DOI: 10.1016/J.Spa.2017.12.001  0.385
2018 Gao X, Zhu L. Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues Queueing Systems. 90: 161-206. DOI: 10.1007/S11134-018-9570-5  0.406
2017 Yin M, Zhu L. Asymptotics for sparse exponential random graph models Brazilian Journal of Probability and Statistics. 31: 394-412. DOI: 10.1214/16-Bjps319  0.324
2017 Zhu L. A delayed dual risk model Stochastic Models. 33: 149-170. DOI: 10.1080/15326349.2016.1236694  0.339
2017 Pirjol D, Zhu L. Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options Advances in Applied Probability. 49: 446-480. DOI: 10.1017/Apr.2017.9  0.321
2017 Pirjol D, Zhu L. Small-noise limit of the quasi-Gaussian log-normal HJM model Operations Research Letters. 45: 6-11. DOI: 10.1016/J.Orl.2016.10.012  0.308
2017 Zhu L. Asymptotic Structure of Constrained Exponential Random Graph Models Journal of Statistical Physics. 166: 1464-1482. DOI: 10.1007/S10955-017-1733-Y  0.315
2016 Pirjol D, Zhu L. Short Maturity Asian Options in Local Volatility Models Siam Journal On Financial Mathematics. 7: 947-992. DOI: 10.1137/15M1047568  0.33
2015 Zhu L. Large deviations for markovian nonlinear hawkes processes Annals of Applied Probability. 25: 548-581. DOI: 10.1214/14-Aap1003  0.379
2015 Mehrdad B, Sen S, Zhu L. The speed of a biased walk on a Galton-Watson tree without leaves is monotonic with respect to progeny distributions for high values of bias Annales De L'Institut Henri Poincare (B) Probability and Statistics. 51: 304-318. DOI: 10.1214/13-Aihp573  0.652
2015 Karabash D, Zhu L. Limit Theorems for Marked Hawkes Processes with Application to a Risk Model Stochastic Models. 31: 433-451. DOI: 10.1080/15326349.2015.1024868  0.539
2015 Zhu L. Large deviations for one-dimensional random walks on discrete point processes Statistics and Probability Letters. 97: 69-75. DOI: 10.1016/J.Spl.2014.11.008  0.367
2015 Pirjol D, Zhu L. On the Growth Rate of a Linear Stochastic Recursion with Markovian Dependence Journal of Statistical Physics. 160: 1354-1388. DOI: 10.1007/S10955-015-1280-3  0.303
2014 Zhu L. Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps Journal of Applied Probability. 51: 699-712. DOI: 10.1239/Jap/1409932668  0.425
2014 Zhu L. Process-level large deviations for nonlinear Hawkes point processes Annales De L'Institut Henri Poincare (B) Probability and Statistics. 50: 845-871. DOI: 10.1214/12-Aihp532  0.356
2014 Mehrdad B, Zhu L. Moderate and large deviations for the Erdos-Kac theorem Quarterly Journal of Mathematics. 67: 147-160. DOI: 10.1093/Qmath/Hav035  0.686
2014 Zhu L. Large deviations for product of sums of random variables Statistics and Probability Letters. 89: 17-22. DOI: 10.1016/J.Spl.2014.02.012  0.331
2013 Zhu L. Central limit theorem for nonlinear hawkes processes Journal of Applied Probability. 50: 760-771. DOI: 10.1239/Jap/1378401234  0.389
2013 Zhu L. Moderate deviations for Hawkes processes Statistics and Probability Letters. 83: 885-890. DOI: 10.1016/J.Spl.2012.12.011  0.342
2013 Zhu L. Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims Insurance: Mathematics and Economics. 53: 544-550. DOI: 10.1016/J.Insmatheco.2013.08.008  0.335
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