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20092023
most citedAnalytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives

16 citations · 58 across the 27 of their papers we have counts for

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16 papers · 1 filter

math.PR2023

Sequential propagation of chaos

Kai Du, Yifan Jiang, Xiaochen Li

A new class of particle systems with sequential interaction is proposed to approximate the McKean-Vlasov process that originally arises as the limit of the mean-field interacting p…

math.PR2022

Entropy solutions to the Dirichlet problem for nonlinear diffusion equations with conservative noise

Kai Du, Ruoyang Liu, Yuxing Wang

Motivated by porous medium equations with randomly perturbed velocity field, this paper considers a class of nonlinear degenerate diffusion equations with nonlinear conservative no…

math.PR2021★ 1 cited

Empirical approximation to invariant measures for McKean--Vlasov processes: mean-field interaction vs self-interaction

Kai Du, Yifan Jiang, Jinfeng Li

This paper proves that, under a monotonicity condition, the invariant probability measure of a McKean--Vlasov process can be approximated by weighted empirical measures of some pro…

math.PR2019★ 1 cited

Krylov-Safonov estimates for a degenerate diffusion process

Fu Zhang, Kai Du

This paper proves a Krylov-Safonov estimate for a multidimensional diffusion process whose diffusion coefficients are degenerate on the boundary. As applications the existence and…

math.PR2019

Schauder-type estimates for higher-order parabolic SPDEs

Yuxing Wang, Kai Du

In this paper we consider the Cauchy problem for -order stochastic partial differential equations of parabolic type in a class of stochastic Hoelder spaces. The Hoelder estimat…

math.PR2018★ 1 cited

Optimal gradient estimates of heat kernels of stable-like operators

Kai Du, Xicheng Zhang

In this note we show the optimal gradient estimate for heat kernels of stable-like operators by providing a counterexample.