- Optimal investment in credit derivatives portfolio under contagion risk (with A. Capponi), Math. Finan. forthcoming 2014
- Bilateral credit valuation adjustment for large credit derivatives portfolios (with A. Capponi), Finan. & Stoch. 18(2): 431-482, 2014
- Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling (with X. Yang), Science China: Math. DOI: 10.1007/s11425-014-4802-6, 1-20, 2014
- Credit derivatives pricing based on Lévy field driven term structure (with Y. Jiao and X. Yang), Stoch. Anal. & Appl. 32(2): 229-252, 2014
- On the default probability in a regime-switching regulated market (with Y. Wang and X. Yang), Meth. Comput. Appl. Probab. 16(1): 101-113, 2014
- Kernel correlated Lévy field driven forward rate and application to derivative pricing (with Y. Wang and X. Yang). Appl. Math. & Optim. 68(1): 21-41, 2013
- Stochastic portfolio optimization with default risk (with Y. Wang and X. Yang). J. Math. Anal. Appl. 397(2): 467-480, 2013
- Optimal investment and consumption with default risk: HARA utility (with Y. Wang and X. Yang). Asia-Pacific Finan. Market 20(3): 261-281, 2013
- On the conditional default probability in a regulated market with jump risk (with D. Li, Y. Wang and X. Yang). Quant. Finan. 13(12): 1967-1975, 2013
- First passage times of reflected generalized Ornstein-Uhlenbeck processes (with G. Ren and Y. Wang). Stoch. & Dyn. 13: 1250014, 1-16, 2013
- First passage times of reflected O-U processes with two-sided jumps. Queueing Syst. 73(1): 105-118, 2013
- Large deviation for the nonlocal Kuramoto-Sivashinsky SPDE (with Y. Jiang). Nonlinear. Anal. 82(C): 100-114, 2013
- Lévy risk model with two-sided jumps and a barrier dividend strategy (with R. Song, D. Tang, Y. Wang, X. Yang). Insurance: Math. & Econom. 50(2): 280-291, 2012
- Optimal portfolio and consumption selection with default risk (with Y. Wang, X. Yang). Front. Math. China 7(6): 1019-1042, 2012
- Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes (with X. Yang). Stats. Probab. Lett. 82(7): 1374-1382, 2012
- First passage times of constant-elasticity-of-variance processes with two-sided reflecting barriers (with C. Hao). J. Appl. Probab. 49(4): 1119-1133, 2012
- Derivative pricing based on the exchange rate in a target zone with realignment (with Y. Wang and X. Yang). Int. J. Theor. Appl. Finan. 14(6): 945-956, 2011
- Exponential change of measure applied to term structures of interest rates and exchange rates. Insurance: Math. & Econom. 49(2): 216-225, 2011
- Variational solutions of dissipative jump-type stochastic evolution equations (with K. Shi and Y. Wang). J. Math. Anal. Appl. 373: 111-126, 2011
- On the conditional default probability in a regulated market: a structural approach (with D. Tang, Y. Wang and X. Yang). Quant. Finan. 11(12): 1695-1702, 2011
- First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries (with Y. Wang and X. Yang). J. Appl. Probab. 48(3): 723-732, 2011
- Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes (with Y. Wang, X. Yang and G. Zhang). J. Stats. Planning and Infer. 141(1): 588-596, 2011
- On a stochastic interacting model with stepping-stone noises (with Y. Wang). Stats. Probab. Lett. 81(8): 1300-1305, 2011
- Mean first passage times of two-dimensional processes with jumps (with M. Lefebvre). Stats. Probab. Lett. 81(8): 1183-1189, 2011
- Some integral functionals of reflected SDEs and their applications in finance (with Y. Wang and X. Yang). Quant. Finan. 11(3): 343-348, 2011
- Markov-modulated jump–diffusions for currency option pricing (with Y. Wang and X. Yang). Insurance: Math. & Econom. 46(3): 461-469, 2010
- An optimal portfolio problem in a defaultable market (with Y. Wang and X. Yang). Adv. Appl. Probab. 42(3): 689-705, 2010
- Support theorem for a stochastic Cahn-Hilliard equation (with K. Shi and Y. Wang). Electron. J. Probab. 15: 484-525, 2010
- On a stochastic wave equation driven by a non-Gaussian Lévy process (with K. Shi and Y. Wang). J. Theoret. Probab. 23(1): 328-343, 2010
- Large deviations for perturbed reflected diffusion processes (with T. Zhang). Stochastics & Stochastic Report 81(6): 531-543, 2009
- Approximating solutions of neutral stochastic evolution equations with jumps (with K. Shi and Y. Wang). Science China: Math. 52(5): 895-907, 2009
- On a class of stochastic Anderson models with fractional noises (with Y. Jiang and Y. Wang). Stoch. Anal. & Appl. 26(2): 256-273, 2008
- Jump type Cahn-Hilliard equations with fractional noises (with K. Shi and Y. Wang). Chin. Ann. Math. 29B(6): 663-678, 2008
- Lyapunov exponent estimates of a class of higher-order stochastic Anderson models (with D. Tang). Proceedings of AMS 136(11): 4033-4043, 2008
- Stochastic Cahn-Hilliard equation with fractional noise (with Y. Jiang and Y. Wang). Stoch. & Dyn. 8(4): 643-665, 2008
- Explosive solutions of stochastic wave equations with damping on Rd (with D. Tang and Y. Wang). J. Diff. Eqn. 244(1): 170-187, 2008
- On a nonlocal stochastic Kuramoto-Sivashinsy equation with jumps (with K. Shi and Y. Wang). Stoch. & Dyn. 7(4): 439-457, 2007
- Discontinuous Galerkin method for elliptic stochastic partial differential equations on two and three dimensional spaces (with R. Yao). Science China: Math. 50(11): 1661-1672, 2007
- Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients (with R. Yao). Front. Math. China 2(1): 73-85, 2007
- On the first passage times of reflected OU processes with two-sided barriers (with Y. Wang and L. Zhang). Queueing Syst. 54(4): 313-316, 2006
- Stochastic Cahn–Hilliard partial differential equations with Lévy spacetime white noises (with Y. Wang). Stoch. & Dyn. 6(2): 229-244, 2006
