1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.NA2025
On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients
Jiamin Jian, Qingshuo Song, Xiaojie Wang +2
We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field…
math.OC2024
Long-Time Behaviors of Stochastic Linear-Quadratic Optimal Control Problems
Jiamin Jian, Sixian Jin, Qingshuo Song +1
This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the…
q-fin.PR2013★ 1 cited
American option of stochastic volatility model with negative Fichera function on degenerate boundary
Chen Xiaoshan, Song Qingshuo
In this paper we study a general framework of American put option with stochastic volatility whose value function is associated with a 2-dimensional parabolic variational inequalit…