2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.MF2014★ 2 cited
Long Term Optimal Investment in Matrix Valued Factor Models
Scott Robertson, Hao Xing
Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic…
math.PR2012
Point process bridges and weak convergence of insider trading models
Umut Çetin, Hao Xing
We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and i…