Singularly perturbed Markov decision processes in discrete time. - R. H. Liu; Qian Zhang; George Yin 001 (CDC, 2001)

Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time. - R. H. Liu; Qing Zhang 003; Gang George Yin (Autom., 2002)

Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach. - Gang George Yin; R. H. Liu; Qing Zhang 003 (SIAM J. Optim., 2002)

A Near-Optimal Selling Rule for a Two-Time-Scale Market Model. - Qing Zhang 003; Gang George Yin; R. H. Liu (Multiscale Model. Simul., 2005)

Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach. - Alain Bensoussan 001; R. H. Liu; Suresh P. Sethi (SIAM J. Control. Optim., 2005)

Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model. - Paul W. Eloe; R. H. Liu; M. Yatsuki; Gang George Yin; Qing Zhang 003 (SIAM J. Appl. Math., 2008)

Double barrier option under regime-switching exponential mean-reverting process. - Paul W. Eloe; R. H. Liu; J. Y. Sun (Int. J. Comput. Math., 2009)

Analytical approximation method of option pricing under geometric mean-reverting process. - R. H. Liu (Int. J. Comput. Math., 2009)

Upper and Lower Solutions for Regime-Switching Diffusions with Applications in Financial Mathematics. - Paul W. Eloe; R. H. Liu (SIAM J. Appl. Math., 2011)

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)

A tree approach to options pricing under regime-switching jump diffusion models. - R. H. Liu; D. Nguyen (Int. J. Comput. Math., 2015)

Pricing American options under multi-state regime switching with an efficient L- stable method. - Muhammad S. Yousuf; Abdul-Qayyum M. Khaliq; R. H. Liu (Int. J. Comput. Math., 2015)