1 citations · 3 across the 4 of their papers we have counts for
4 papers
Common Decomposition of Correlated Brownian Motions and its Financial Applications
Tianyao Chen, Xue Cheng, Jingping Yang
In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are repres…
Optimal execution with dynamic risk adjustment
Xue Cheng, Marina Di Giacinto, Tai-Ho Wang
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price…
Decomposing Correlated Random Walks on Common and Counter Movements
Tianyao Chen, Xue Cheng, Jingping Yang
Random walk is one of the most classical and well-studied model in probability theory. For two correlated random walks on lattice, every step of the random walks has only two state…
Bessel bridge representation for heat kernel in hyperbolic space
Xue Cheng, Tai-Ho Wang
This article shows a Bessel bridge representation for the transition density of Brownian motion on the Poincare space. This transition density is also referred to as the heat kerne…