R. H. Liu

According to our database, R. H. Liu authored at least 12 papers between 2001 and 2015.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of five.

2015

Pricing American options under multi-state regime switching with an efficient <i>L</i>- stable method.

Muhammad S. Yousuf, Abdul-Qayyum M. Khaliq, R. H. Liu

Int. J. Comput. Math., 2015

A tree approach to options pricing under regime-switching jump diffusion models.

R. H. Liu, D. Nguyen

Int. J. Comput. Math., 2015

2013

A lattice method for option pricing with two underlying assets in the regime-switching model.

R. H. Liu, J. L. Zhao

J. Comput. Appl. Math., 2013

2011

Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics.

Paul W. Eloe, R. H. Liu

SIAM J. Appl. Math., 2011

2009

Analytical approximation method of option pricing under geometric mean-reverting process.

R. H. Liu

Int. J. Comput. Math., 2009

Double barrier option under regime-switching exponential mean-reverting process.

Paul W. Eloe, R. H. Liu, J. Y. Sun

Int. J. Comput. Math., 2009

2008

Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model.

Paul W. Eloe, R. H. Liu, M. Yatsuki, Gang George Yin, Qing Zhang

SIAM J. Appl. Math., 2008

2005

Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach.

Alain Bensoussan, R. H. Liu, Suresh P. Sethi

SIAM J. Control. Optim., 2005

A Near-Optimal Selling Rule for a Two-Time-Scale Market Model.

Qing Zhang, Gang George Yin, R. H. Liu

Multiscale Model. Simul., 2005

2002

Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach.

Gang George Yin, R. H. Liu, Qing Zhang

SIAM J. Optim., 2002

Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time.

R. H. Liu, Qing Zhang, Gang George Yin

Autom., 2002

2001

Singularly perturbed Markov decision processes in discrete time.

R. H. Liu, Qian Zhang, George Yin

Proceedings of the 40th IEEE Conference on Decision and Control, 2001