R. H. Liu

University of Dayton - Department of Mathematics

300 College Park

Dayton, OH 45469

United States

http://academic.udayton.edu/ruihualiu/

SCHOLARLY PAPERS

3

DOWNLOADS

194

SSRN CITATIONS

1

CROSSREF CITATIONS

5

Scholarly Papers (3)

1.

Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach

SIAM Journal on Control & Optimization, Vol. 44, No. 5, pp. 1650-1676, 2006
Number of pages: 28 Posted: 26 Feb 2008 Last Revised: 14 Apr 2008
University of Texas at Dallas - Naveen Jindal School of Management, University of Dayton - Department of Mathematics and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 162 (187,140)
Citation 1

Abstract:

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(s, S) policy, compound Poisson process, diffusion process, economic order quantity model, impulse control, quasi-variational inequalities, stochastic inventory model, EOQ Model

2.

Stock Liquidation Via Stochastic Approximation Using NASDAQ Daily and Intra-Day Data

Mathematical Finance, Vol. 16, No. 1, pp. 217-236, January 2006
Number of pages: 20 Posted: 21 Jun 2006
G. Yin, Qing Zhang, F. Liu, R. H. Liu and Y. Cheng
Wayne State University - Department of Mathematics, University of Georgia - Department of Mathematics, Wayne State University - Department of Mathematics, University of Dayton - Department of Mathematics and Wayne State University - Department of Mathematics
Downloads 32 (467,897)
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3.

New Numerical Scheme for Pricing American Option with Regime-Switching

International Journal of Theoretical and Applied Finance, Vol. 12, No. 3, pp. 319-340, 2009
Posted: 16 Apr 2010 Last Revised: 21 Apr 2010
Abdul Q. M. Khaliq and R. H. Liu
Middle Tennessee State University and University of Dayton - Department of Mathematics

Abstract:

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American Option, Regime-Switching, Implicit Scheme, Penalty Method, Θ-Method, Free Boundary Value Problem