Lingjiong Zhu

Lingjiong Zhu
Are you Lingjiong Zhu?

Claim your profile, edit publications, add additional information:

Contact Details

Name
Lingjiong Zhu
Affiliation
Location

Pubs By Year

Pub Categories

 
Mathematics - Probability (24)
 
Mathematics - Combinatorics (5)
 
Physics - Statistical Mechanics (3)
 
Mathematics - Number Theory (2)
 
Mathematics - Mathematical Physics (2)
 
Mathematical Physics (2)
 
Mathematics - Statistics (1)
 
Statistics - Theory (1)
 
Statistics - Methodology (1)
 
Mathematics - Optimization and Control (1)
 
Mathematics - Numerical Analysis (1)

Publications Authored By Lingjiong Zhu

Recently, He and Owen (2016) proposed the use of Hilbert's space filling curve (HSFC) in numerical integration as a way of reducing the dimension from $d>1$ to $d=1$. This paper studies the asymptotic normality of the HSFC-based estimate when using scrambled van der Corput sequence as input. We show that the estimate has an asymptotic normal distribution for functions in $C^1([0,1]^d)$, excluding the trivial case of constant functions. Read More

Hawkes process is a class of simple point processes with self-exciting and clustering properties. Hawkes process has been widely applied in finance, neuroscience, social networks, criminology, seismology, and many other fields. In this paper, we study a new asymptotic regime for nonlinear Hawkes processes, the large rate function and the small exciting function regime. Read More

We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows the Constant Elasticity of Variance (CEV) model. We present an analytical approximation for the Asian options prices which has the appropriate short maturity asymptotics, and demonstrate good numerical agreement of the asymptotic results with the results of Monte Carlo simulations and benchmark test cases for option parameters relevant in practical applications. Read More

Hawkes process is a class of simple point processes with self-exciting and clustering properties. Hawkes process has been widely applied in finance, neuroscience, social networks, criminology, seismology, and many other fields. In this paper, we study precise deviations for Hawkes processes for large time asymptotics, that strictly extends and improves the existing results in the literature. Read More

We study an equilibrium model of sequential network formation with heterogeneous players. The payoffs depend on the number and composition of direct connections, but also the number of indirect links. We show that the network formation process is a potential game and in the long run the model converges to an exponential random graph (ERGM). Read More

The discrete sum of geometric Brownian motions plays an important role in modeling stochastic annuities in insurance. It also plays a pivotal role in the pricing of Asian options in mathematical finance. In this paper, we study the probability distributions of the infinite sum of geometric Brownian motions, the sum of geometric Brownian motions with geometric stopping time, and the finite sum of the geometric Brownian motions. Read More

We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows a local volatility model. The asymptotics for out-of-the-money, in-the-money, and at-the-money cases are derived, considering both fixed strike and floating strike Asian options. The asymptotics for the out-of-the-money case involves a non-trivial variational problem which is solved completely. Read More

A univariate Hawkes process is a simple point process that is self-exciting and hasclustering effect. The intensity of this point process is given by the sum of a baseline intensity and another term that depends on the entire past history of the point process. Hawkes process has wide applications in finance, neuroscience, social networks, criminology, seismology, and many other fields. Read More

We study microcanonical lattice gas models with long range interactions, including power law interactions. We rigorously obtain a variational principle for the entropy. In a one dimensional example, we find a first order phase transition by proving the entropy is non-differentiable along a certain curve. Read More

Hawkes process is a class of simple point processes that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, insurance, neuroscience, social networks, criminology, seismology, and many other fields. Read More

The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk model. It is well known that the value function of this optimal control problem does not yield closed-form solutions except in some special cases. Read More

Hawkes process is a class of simple point processes that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, neuroscience, social networks, criminology, seismology, and many other fields. Read More

Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated on the optimal dividend strategies. In this paper, we propose to study the optimal investment strategy on research and development for the dual risk models to minimize the ruin probability of the underlying company. Read More

In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the existing literature of dual risk models, the profits follow the compound Poisson model and the cost is constant. Read More

One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the biggest contributing factor to the price movement is the imbalance of the best bid and ask. We investigate the data of the level-1 limit order books of a basket of stocks and study the numerical evidence of drift, correlation, volatility and their dependence on the imbalance. Read More

Order positions are key variables in algorithmic trading. This paper studies the limiting behavior of order positions and related queues in a limit order book. In addition to the fluid and diffusion limits for the processes, fluctuations of order positions and related queues around their fluid limits are analyzed. Read More

We consider the linear stochastic recursion $x_{i+1} = a_{i}x_{i}+b_{i}$ where the multipliers $a_i$ are random and have Markovian dependence given by the exponential of a standard Brownian motion and $b_{i}$ are i.i.d. Read More

In this paper, we study a class of self-exciting point processes. The intensity of the point process has a nonlinear dependence on the past history and time. When a new jump occurs, the intensity increases and we expect more jumps to come. Read More

Reciprocity is an important characteristic of directed networks and has been widely used in the modeling of World Wide Web, email, social, and other complex networks. In this paper, we take a statistical physics point of view and study the limiting entropy and free energy densities from the microcanonical ensemble, the canonical ensemble, and the grand canonical ensemble whose sufficient statistics are given by edge and reciprocal densities. The sparse case is also studied for the grand canonical ensemble. Read More

We study the asymptotics for sparse exponential random graph models where the parameters may depend on the number of vertices of the graph. We obtain exact estimates for the mean and variance of the limiting probability distribution and the limiting log partition function of the edge-(single)-star model. They are in sharp contrast to the corresponding asymptotics in dense exponential random graph models. Read More

In this paper, we study exponential random graph models subject to certain constraints. We obtain some general results about the asymptotic structure of the model. We show that there exists non-trivial regions in the phase plane where the asymptotic structure is uniform and there also exists non-trivial regions in the phase plane where the asymptotic structure is non-uniform. Read More

We study the asymptotics of large directed graphs, constrained to have certain densities of edges and/or outward $p$-stars. Our models are close cousins of exponential random graph models (ERGMs), in which edges and certain other subgraph densities are controlled by parameters. The idea of directly constraining edge and other subgraph densities comes from Radin and Sadun. Read More

We consider a family of directed exponential random graph models parametrized by edges and outward stars. Essentially all of the statistical content of such models is given by the free energy density, which is an appropriately scaled version of the probability normalization. We derive precise asymptotics for the free energy density of finite graphs. Read More

The Hawkes process is a simple point process, whose intensity function depends on the entire past history and is self-exciting and has the clustering property. The Hawkes process is in general non-Markovian. The linear Hawkes process has immigration-birth representation. Read More

The optimal strategies for a long-term static investor are studied. Given a portfolio of a stock and a bond, we derive the optimal allocation of the capitols to maximize the expected long-term growth rate of a utility function of the wealth. When the bond has constant interest rate, three models for the underlying stock price processes are studied: Heston model, 3/2 model and jump diffusion model. Read More

The Erd\H{o}s-Kac theorem is a celebrated result in number theory which says that the number of distinct prime factors of a uniformly chosen random integer satisfies a central limit theorem. In this paper, we establish the large deviations and moderate deviations for this problem in a very general setting for a wide class of additive functions. Read More

The law of large numbers for the empirical density for the pairs of uniformly distributed integers with a given greatest common divisor is a classic result in number theory. In this paper, we study the large deviations of the empirical density. We will also obtain a rate of convergence to the normal distribution for the central limit theorem. Read More

In this paper, we propose a stochastic process, which is a Cox-Ingersoll-Ross process with Hawkes jumps. It can be seen as a generalization of the classical Cox-Ingersoll-Ross process and the classical Hawkes process with exponential exciting function. Our model is a special case of the affine point processes. Read More

The Hawkes process is a simple point process that has long memory, clustering effect, self-exciting property and is in general non-Markovian. The future evolution of a self-exciting point process is influenced by the timing of the past events. There are applications in finance, neuroscience, genome analysis, seismology, sociology, criminology and many other fields. Read More

In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary and non-renewal. We give three examples of non-stationary and non-renewal point processes: Hawkes process, Cox process with shot noise intensity and self-correcting point process. Read More

Consider biased random walks on two Galton-Watson trees without leaves having progeny distributions $P_1$ and $P_2$ (GW$(P_1)$ and GW$(P_2)$) where $P_1$ and $P_2$ are supported on positive integers and $P_1$ dominates $P_2$ stochastically. We prove that the speed of the walk on GW$(P_1)$ is bigger than the same on GW$(P_2)$ when the bias is larger than a threshold depending on $P_1$ and $P_2$. This partially answers a question raised by Ben Arous, Fribergh and Sidoravicius. Read More

This paper focuses on limit theorems for linear Hawkes processes with random marks. We prove a large deviation principle, which answers the question raised by Bordenave and Torrisi. A central limit theorem is also obtained. Read More

Hawkes process is a self-exciting point process with clustering effect whose intensity depends on its entire past history. It has wide applications in neuroscience, finance and many other fields. In this paper, we obtain a functional central limit theorem for nonlinear Hawkes process. Read More

In this paper, we prove a process-level, also known as level-3 large deviation principle for a very general class of simple point processes, i.e. nonlinear Hawkes process, with a rate function given by the process-level entropy, which has an explicit formula. Read More

Hawkes process is a class of simple point processes that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, neuroscience and many other fields. Read More