Dr. SONG Qingshuo (宋慶碩)

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Research Output

  1. 2022
  2. Published

    On the Graphon Mean Field Game equations: Individual agent affine dynamics and mean field dependent performance functions

    CAINES, P. E., HO, D., HUANG, M., JIAN, J. & SONG, Q., 2022, In: ESAIM: Control, Optimisation and Calculus of Variations. 28, 24.

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 2
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  3. 2021

  4. Pricing double volatility barriers option under stochastic volatility

    Han, Y., Liu, C. & Song, Q., 2021, In: Stochastics. 93, 4, p. 625–645

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 2
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  5. 2020
  6. Published

    The density evolution of the killed McKean–Vlasov process

    Caines, P. E., Ho, D. & Song, Q., 2020, In: Stochastics. 92, 4, p. 642-657

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 2
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  7. 2019

  8. EXIT PROBLEMS AS THE GENERALIZED SOLUTIONS OF DIRICHLET PROBLEMS

    HAN, Y., SONG, Q. & WANG, G., 2019, In: SIAM Journal on Control and Optimization. 57, 4, p. 2392-2414

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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  9. 2018
  10. Published

    Spectral Methods for Substantial Fractional Differential Equations

    Huang, C., Zhang, Z. & Song, Q., Mar 2018, In: Journal of Scientific Computing. 74, 3, p. 1554-1574

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 20
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  11. Published

    Solvability of the nonlinear dirichlet problem with integro-differential operators

    Bayraktar, E. & Song, Q., 2018, In: SIAM Journal on Control and Optimization. 56, 1, p. 292-315

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 3
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  12. 2017
  13. Online published

    Ergodicity and strong limit results for two-time-scale functional stochastic differential equations

    Bao, J., Song, Q., Yin, G. & Yuan, C., 13 Sept 2017, (Online published) In: Stochastic Analysis and Applications. 35, 6, p. 1030-1046

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 7
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  14. Published

    The stochastic solution to a Cauchy problem for degenerate parabolic equations

    Chen, X., Huang, Y.-J., Song, Q. & Zhu, C., 1 Jul 2017, In: Journal of Mathematical Analysis and Applications. 451, 1, p. 448-472

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 1
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  15. Published

    Neutral stochastic differential delay equations with locally monotone coefficients

    Ji, Y., Song, Q. & Yuan, C., Jun 2017, In: Dynamics of Continuous, Discrete and Impulsive Systems Series A: Mathematical Analysis. 24, 3, p. 195-217

    Research output: Journal Publications and Reviews › RGC 22 - Publication in policy or professional journal

    Scopus citations: 5
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  16. Published

    Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk

    Huang, Y. T., Song, Q. & Zheng, H., 2017, In: SIAM Journal on Financial Mathematics. 8, 1, p. 1-27

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 4
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  17. 2016
  18. Published

    On singular control problems with state constraints and regime-switching: A viscosity solution approach

    Song, Q. & Zhu, C., Aug 2016, In: Automatica. 70, p. 66-73

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 13
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  19. 2015
  20. Published

    Approximating functionals of local martingales under lack of uniqueness of the Black–Scholes PDE solution

    SONG, Q. & YANG, P., 2015, In: Quantitative Finance. 15, 5, p. 901-908

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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  21. 2014
  22. Published

    A note on exponential almost sure stability of stochastic differential equation

    MAO, X., SONG, Q. & YANG, D., Jan 2014, In: Bulletin of the Korean Mathematical Society. 51, 1, p. 221-227

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 1
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  23. 2013
  24. Published

    An optimal pairs-trading rule

    Song, Q. & Zhang, Q., Oct 2013, In: Automatica. 49, 10, p. 3007-3014

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 34
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  25. Published

    Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing

    Leung, T., Song, Q. & Yang, J., Oct 2013, In: Finance and Stochastics. 17, 4, p. 839-870

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 5
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  26. Published

    Characterization of stochastic control with optimal stopping in a Sobolev space

    Chen, X., Song, Q., Yi, F. & Yin, G., Jun 2013, In: Automatica. 49, 6, p. 1654-1662

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 1
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  27. Published

    Optimal portfolio selection under concave price impact

    Ma, J., Song, Q., Xu, J. & Zhang, J., Jun 2013, In: Applied Mathematics and Optimization. 67, 3, p. 353-390

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 4
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  28. Published

    Mean Exit Times and the Multi-level Monte Carlo Method

    Higham, D. J., Mao, X., Roj, M., SONG, Q. & Yin, G., 27 Mar 2013, In: SIAM / ASA Journal on Uncertainty Quantification. 1, 1, p. 2-18

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 32
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  29. Published

    Weak convergence methods for approximation of the evaluation of path-dependent functionals

    SONG, Q., YIN, G. & ZHANG, Q., 2013, In: SIAM Journal on Control and Optimization. 51, 5, p. 4189-4210

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 11
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  30. 2012
  31. Published

    Outperforming the market portfolio with a given probability

    Bayraktar, E., Huang, Y.-J. & Song, Q., Aug 2012, In: Annals of Applied Probability. 22, 4, p. 1465-1494

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 5
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