4 papers · 1 filter
Asset Prices with Investor Protection and Past Information
Jia Yue, Ben-Zhang Yang, Ming-Hui Wang +1
In this paper, we consider a dynamic asset pricing model in an approximate fractional economy to address empirical regularities related to both investor protection and past informa…
Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
Zhun Gou, Ming-hui Wang, Nan-jing Huang
In this paper, the existence and pathwise uniqueness of strong solutions for jump-type stochastic differential equations are investigated under non-Lipschitz conditions. A sufficie…
Variational and numerical analysis of a dynamic viscoelastic contact problem with friction and wear
Tao Chen, Nan-jing Huang, Yi-bin Xiao
In this paper, we consider a dynamic viscoelastic contact problem with friction and wear, and describe it as a system of nonlinear partial differential equations. We formulate the…
Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
Ben-zhang Yang, Xinjiang He, Nan-jing Huang
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general sto…