3 papers
q-fin.MF2025
Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity
Xiaoshan Chen, Chen Yang, Zhou Yang
Data assets are data commodities that have been processed, produced, priced, and traded based on actual demand. Reasonable pricing mechanism for data assets is essential for develo…
math.PR2018
Recurrence and Ergodicity for A Class of Regime-Switching Jump Diffusions
Xiaoshan Chen, Zhen-Qing Chen, Ky Tran +1
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes m…
math.PR2018
Properties of Switching Jump Diffusions: Maximum Principles and Harnack Inequalities
Xiaoshan Chen, Zhen-Qing Chen, Ky Tran +1
This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with…