18 citations · 23 across the 9 of their papers we have counts for
8 papers · 1 filter
The Stationary Behavior of Reflecting Coupled Brownian Motions with Applications to Shortest Remaining Processing Time Queues
Sixian Jin, Marvin Pena, Amber L. Puha
With the objective of characterizing the stationary behavior of the scaling limit for shortest remaining processing time (SRPT) queues with a heavy-tailed processing time distribut…
Pricing the zero-coupon bond of the extended Cox-Ingersoll-Ross model using Malliavin calculus
Hongyi Chen, Sixian Jin, Di Kang
In this paper, we price the zero-coupon bond of the extended Cox-Ingersoll-Ross model by a Dyson type formula established in one of the authors' paper Jin, Peng and Schelllhorn (20…
Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
Sixian Jin, Kei Kobayashi
The rates of strong convergence for various approximation schemes are investigated for a class of stochastic differential equations (SDEs) which involve a random time change given…
Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
Sixian Jin, Kei Kobayashi
The rate of strong convergence is investigated for an approximation scheme for a class of stochastic differential equations driven by a time-changed Brownian motion, where the rand…
Estimation of the Pointwise Hölder Exponent of Hidden Multifractional Brownian Motion Using Wavelet Coefficients
Sixian Jin, Qidi Peng, Henry Schellhorn
We propose a wavelet-based approach to construct consistent estimators of the pointwise Hölder exponent of a multifractional Brownian motion, in the case where this underlying proc…
Fractional Hida Malliavin Derivatives and Series Representations of Fractional Conditional Expectations
Sixian Jin, Qidi Peng, Henry Schellhorn
We represent fractional conditional expectations of a functional of fractional Brownian motion as a convergent series in L^2 space. When the target random variable is some function…
A Representation Theorem for Smooth Brownian Martingales - New Example
Sixian Jin, Qidi Peng, Henry Schellhorn
We show that, under certain smoothness conditions, a Brownian martingale, when evaluated at a fixed time, can be represented via an exponential formula at a later time. The time-de…
A Representation Theorem for Smooth Brownian Martingales
Henry Schellhorn
We show that, under certain smoothness conditions, a Brownian martingale at a fixed time can be represented as an exponential of its value at a later time. The time-dependent gener…