3 citations · 4 across the 3 of their papers we have counts for
3 papers
econ.GN2021★ 3 cited
Option to survive or surrender: carbon asset management and optimization in thermal power enterprises from China
Yue Liu, Lixin Tian, Zhuyun Xie +2
Carbon emission right allowance is a double-edged sword, one edge is to reduce emission as its original design intention, another edge has in practice slain many less developed coa…
math.PR2017
A recursive algorithm for selling at the ultimate maximum in regime-switching models
Yue Liu, Nicolas Privault
We propose a recursive algorithm for the numerical computation of the optimal value function over the…
math.PR2015★ 1 cited
Selling at the ultimate maximum in a regime switching model
Yue Liu, Nicolas Privault
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving…