Lingjiong Zhu

University of Minnesota - Minneapolis

206 Church Street SE

Minneapolis, MN 55455

United States

SCHOLARLY PAPERS

15

DOWNLOADS
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1,033

SSRN CITATIONS
Rank 33,314

SSRN RANKINGS

Top 33,314

in Total Papers Citations

1

CROSSREF CITATIONS

17

Scholarly Papers (15)

1.

Operational Risk Management: Preventive vs. Corrective Control

Number of pages: 39 Posted: 20 Dec 2017
Yuqian Xu, Lingjiong Zhu and Michael Pinedo
University of Illinois at Urbana-Champaign - College of Business, University of Minnesota - Minneapolis and New York University (NYU) - Leonard N. Stern School of Business
Downloads 176 (172,909)

Abstract:

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operational risk, stochastic control, jump process, investment

2.

A Reduced-Form Model for Level-1 Limit Order Books

Number of pages: 30 Posted: 31 Aug 2015 Last Revised: 20 Oct 2015
Tzu-Wei Yang and Lingjiong Zhu
University of Minnesota - Twin Cities - School of Mathematics and University of Minnesota - Minneapolis
Downloads 173 (174,674)
Citation 2

Abstract:

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limit order books, data analysis, reduced form models, diffusion approximations

3.

Detecting Arbitrage in the Foreign Exchange Market

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 05 May 2018
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, New Jersey Institute of Technology and University of Minnesota - Minneapolis
Downloads 153 (194,046)
Citation 1

Abstract:

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Foreign Exchange, Toxic Arbitrage, Triangular Arbitrage, Perron-Frobenius Theorem

4.

Dynamics of Order Positions and Related Queues in a Limit Order Book

Number of pages: 42 Posted: 20 May 2015 Last Revised: 14 Oct 2015
Xin Guo, Zhao Ruan and Lingjiong Zhu
University of California, Berkeley - Department of Industrial Engineering and Operations Research, University of California, Berkeley and University of Minnesota - Minneapolis
Downloads 150 (197,158)
Citation 5

Abstract:

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Limit Order Book, Order Position, Queue Length, Fluid Limit, Functional Central Limit Theorems, Large Deviations

5.

Exact Optimal Pricing under the Multinomial Logit Choice Model with Network Effects

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 27 Dec 2016
Zhenyu Cui and Lingjiong Zhu
Stevens Institute of Technology - School of Business and University of Minnesota - Minneapolis
Downloads 96 (274,743)

Abstract:

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Pricing, Choice Models, Multinomial Logit Choice, Network Effects, Revenue Management

6.

Operational Risk Management: Team Based Incentive Bonus and Effort Coupling

Number of pages: 38 Posted: 25 Jun 2018 Last Revised: 21 Sep 2018
Yuqian Xu and Lingjiong Zhu
University of Illinois at Urbana-Champaign - College of Business and University of Minnesota - Minneapolis
Downloads 62 (354,013)

Abstract:

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operational risk, incentive bonus, loss reduction, workforce

7.

Optimal Investment in a Dual Risk Model

Number of pages: 32 Posted: 18 Oct 2015
Arash Fahim and Lingjiong Zhu
Florida State University - Department of Mathematics and University of Minnesota - Minneapolis
Downloads 48 (398,682)
Citation 2

Abstract:

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dual risk model, minimizing ruin probability, optimal investment

8.

Approximate Variational Estimation for a Model of Network Formation

Number of pages: 51 Posted: 02 Feb 2017 Last Revised: 06 Apr 2019
Angelo Mele and Lingjiong Zhu
Johns Hopkins University - Carey Business School and University of Minnesota - Minneapolis
Downloads 38 (436,400)
Citation 5

Abstract:

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Networks, Microeconometrics, Large networks, Variational Inference, Large deviations, Graph limits, Mean-Field Approximations

9.

A State-Dependent Dual Risk Model

Number of pages: 20 Posted: 18 Oct 2015
Lingjiong Zhu
University of Minnesota - Minneapolis
Downloads 27 (486,763)
Citation 1

Abstract:

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dual risk model, state-dependent, ruin probability

10.

On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 01 May 2019
Zhenyu Cui, Chihoon Lee, Lingjiong Zhu and Yunfan Zhu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of Minnesota - Minneapolis and Stevens Institute of Technology - School of Business
Downloads 26 (492,202)

Abstract:

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simulation optimization, complexity, unbiased estimato, stochastic model applications

11.

Transform Analysis for Markov Processes and Applications: An Operator-based Approach

Stevens Institute of Technology School of Business Research Paper
Number of pages: 27 Posted: 07 Mar 2019
Zhenyu Cui, Chihoon Lee, Yanchu Liu and Lingjiong Zhu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Minnesota - Minneapolis
Downloads 26 (492,202)
Citation 2

Abstract:

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Transform analysis, Asset pricing, Occupation time, Markov Process, Finance

12.

Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

Number of pages: 23 Posted: 17 Jan 2016
Arash Fahim and Lingjiong Zhu
Florida State University - Department of Mathematics and University of Minnesota - Minneapolis
Downloads 26 (492,202)

Abstract:

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dual risk model, optimal dividends, asymptotic analysis

13.

Optimal Unbiased Estimation for Expected Cumulative Cost

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 30 Apr 2018
Zhenyu Cui, Michael Fu, Yijie Peng and Lingjiong Zhu
Stevens Institute of Technology - School of Business, University of Maryland - College Park, Department of Industrial Engineering and Management, Peking University and University of Minnesota - Minneapolis
Downloads 17 (544,326)
Citation 1

Abstract:

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unbiased simulation, optimal control, cumulative cost, efficiency of estimator

14.

Technology Adoption: Optimal Timing, Pricing, and Employee Incentives

Number of pages: 89 Posted: 24 Sep 2019
Yuqian Xu and Lingjiong Zhu
University of Illinois at Urbana-Champaign - College of Business and University of Minnesota - Minneapolis
Downloads 15 (562,361)

Abstract:

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optimal stopping time, technology, adoption, pricing, incentive, wage, lump-sum payment

15.

Stocking Under Uncertain Demand and Product Variety

Posted: 09 Feb 2019
Vashkar Ghosh, Anand A. Paul and Lingjiong Zhu
University of Florida, University of Florida and University of Minnesota - Minneapolis

Abstract:

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Inventory Management, Substitution, Multi-Period