- 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
**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 R
^{d}(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