22 citations · 55 across the 16 of their papers we have counts for
17 papers
The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain
Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong
We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state space. Our study focuses on the joint distribution of the two-sided exit time and…
Estimation of Tempered Stable Lévy Models of Infinite Variation
José E. Figueroa-López, Ruoting Gong, Yuchen Han
We propose a new method for the estimation of a semiparametric tempered stable Lévy model. The estimation procedure combines iteratively an approximate semiparametric method of mom…
Wiener-Hopf Factorization for Arithmetic Brownian Motion with Time-Dependent Drift and Volatility
Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong
In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this p…
Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains
Tomasz R. Bielecki, Ziteng Cheng, Igor Cialenco +1
This work contributes to the theory of Wiener-Hopf type factorization for finite Markov chains. This theory originated in the seminal paper Barlow et al. (1980), which treated the…
Bayesian Estimations for Diagonalizable Bilinear SPDEs
Ziteng Cheng, Igor Cialenco, Ruoting Gong
The main goal of this paper is to study the parameter estimation problem, using the Bayesian methodology, for the drift coefficient of some linear (parabolic) SPDEs driven by a mul…
Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
Tomasz R. Bielecki, Igor Cialenco, Ruoting Gong +1
In this paper we derive the Wiener-Hopf factorization for a finite-state time-inhomogeneous Markov chain. To the best of our knowledge, this study is the first attempt to investiga…
Stochastic Representations for Solutions to Parabolic Dirichlet Problems for Nonlocal Bellman Equations
Ruoting Gong, Chenchen Mou, Andrzej Swiech
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differ…
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy models With Local Volatility
José E. Figueroa-López, Ruoting Gong, Matthew Lorig
In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both lo…
Trajectory Fitting Estimators for SPDEs Driven by Additive Noise
Igor Cialenco, Ruoting Gong, Yicong Huang
In this paper we study the problem of estimating the drift/viscosity coefficient for a large class of linear, parabolic stochastic partial differential equations (SPDEs) driven by…
A Central Limit Theorem for the Optimal Alignments Score in Multiple Random Words
Ruoting Gong, Christian Houdré, Ümit Işlak
Let , where , , be independent sequences of independent a…
Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions
Paul M. N. Feehan, Ruoting Gong, Jian Song
We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model c…
Lower Bounds on the Generalized Central Moments of the Optimal Alignments Score of Random Sequences
Ruoting Gong, Christian Houdré, Jüri Lember
We present a general approach to the problem of determining tight asymptotic lower bounds for generalized central moments of the optimal alignment score of two independent sequence…
Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model
José E. Figueroa-López, Ruoting Gong, Christian Houdré
A third-order approximation for close-to-the-money European option prices under an infinite-variation CGMY Lévy model is derived, and is then extended to a model with an additional…
High-order short-time expansions for ATM option prices of exponential Lévy models
José E. Figueroa-López, Ruoting Gong, Christian Houdré
In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential Lévy models with or without Brownian component. The result…
High-order short-time expansions for ATM option prices under the CGMY model
José E. Figueroa-López, Ruoting Gong, Christian Houdré
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approx…
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
J. E. Figueroa-López, R. Gong, C. Houdré
We consider a stochastic volatility model with Lévy jumps for a log-return process of the form , where is a classical stochastic…
A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain
Ruoting Gong, Christian Houdré
We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the…