1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.PR2024
A Limit Order Book Model for High Frequency Trading with Rough Volatility
Yun Chen-Shue, Yukun Li, Jiongmin Yong
We introduce a model for limit order book of a certain security with two main features: First, both the limit orders and market orders for the given asset are allowed to appear and…
math.NA2023
Higher order time discretization method for a class of semilinear stochastic partial differential equations with multiplicative noise
Yukun Li, Liet Vo, Guanqian Wang
In this paper, we consider a new approach for semi-discretization in time and spatial discretization of a class of semi-linear stochastic partial differential equations (SPDEs) wit…
math.NA2019★ 1 cited
Some algorithms for the mean curvature flow under topological changes
Arthur Bousquet, Yukun Li, Guanqian Wang
This paper considers and proposes some algorithms to compute the mean curvature flow under topological changes. Instead of solving the fully nonlinear partial differential equation…