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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