Ch. Zhang

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All published works

Action	Title	Year	Authors
+ PDF Chat	Convergence of Weak Euler Approximation for Nondegenerate Stochastic Differential Equations Driven by Point and Martingale Measures	2023	R. Mikulevíčius Ch. Zhang
+ PDF Chat	Hawkes-based models for high frequency financial data	2021	Kaj Nyström Ch. Zhang
+ PDF Chat	A Note on the Oscillation of Second-Order Quasilinear Neutral Dynamic Equations on Time Scales	2020	Ch. Zhang Ting Li
+	Interface-Capturing Method for Calculating Transport Equations for a Multicomponent Heterogeneous System on Fixed Eulerian Grids	2019	Ch. Zhang Igor Men’shov
+	On $$ {\varSigma}_t^{\sigma } $$ -Closed Classes of Finite Groups	2019	Ch. Zhang Alexander N. Skiba
+	Modeling High Frequency Data Using Hawkes Processes with Power-law Kernels 1	2016	Ch. Zhang
+	Weak Euler Approximation for Itô Diffusion and Jump Processes	2015	R. Mikulevíčius Ch. Zhang
+	Convergence of Weak Euler Scheme for Nondegenerate Levy-Driven Stochastic Differential Equations	2014	R. Mikulevíčius Ch. Zhang
+	On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes	2011	R. Mikulevíčius Ch. Zhang
+	On Increasing Computational Efficiency of Local Integral Equation Method Combined with Meshless Implementations	2010	V. Sládek J. Sládek Ch. Zhang
+	On the Rate of Convergence of Weak Euler Approximation for Nondegenerate Itô Diffusion and Jump Processes	2010	R. Mikulevíčius Ch. Zhang
+	A Novel Mathematical Model for the Unique Shortest Path Routing Problem	2008	Ch. Zhang

Common Coauthors

Coauthor	Papers Together
R. Mikulevíčius	5
J. Sládek	1
Kaj Nyström	1
Alexander N. Skiba	1
Igor Men’shov	1
V. Sládek	1
Ting Li	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+	Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications	2005	Denis Talay	4
+ PDF Chat	The Euler scheme for Lévy driven stochastic differential equations	1997	Philip Protter Denis Talay	4
+	Rate of Convergence of the Euler Approximation for Diffusion Processes	1991	Remigius Mikulevičius Eckhard Plate	4
+	Theory of Function Spaces II	1992	Hans Triebel	3
+	An introduction to numerical methods for stochastic differential equations	1999	Eckhard Platen	3
+	On Hölder solutions of the integro-differential Zakai equation	2009	R. Mikulevíčius H. Pragarauskas	3
+	Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps	2002	K. Kubilius Eckhard Platen	3
+	On the martingale problem for generators of stable processes with perturbations	1984	Takashi Komatsu	3
+	Estimating value-at-risk: a point process approach	2005	Valérie Chavez‐Demoulin A. C. Davison Alexander J. McNeil	2
+ PDF Chat	Multivariate Hawkes processes: an application to financial data	2011	Paul Embrechts Thomas Liniger Lu Lin	2
+ PDF Chat	Quantifying reflexivity in financial markets: Toward a prediction of flash crashes	2012	Vladimir Filimonov Didier Sornette	2
+ PDF Chat	Modelling security market events in continuous time: Intensity based, multivariate point process models	2007	Clive G. Bowsher	2
+ PDF Chat	Elliptic Partial Differential Equations of Second Order	2001	David Gilbarg Neil S. Trudinger	2
+ PDF Chat	On Lewis' simulation method for point processes	1981	Patricia Reynaud-Bouret Vincent Rivoirard Franck Grammont Christine Tuleau-Malot	2
+ PDF Chat	Statistical properties of stock order books: empirical results and models	2002	Jean‐Philippe Bouchaud Marc Mézard Marc Potters	2
+ PDF Chat	Modelling microstructure noise with mutually exciting point processes	2012	Emmanuel Bacry Sylvain Delattre Marc Hoffmann J. F. Muzy	2
+	Modelling Financial High Frequency Data Using Point Processes	2009	Luc Bauwens Nikolaus Hautsch	2
+	The Cauchy problem and the martingale problem for integro-differential operators with non-smooth kernels	2009	Helmut Abels Moritz Kaßmann	2
+ PDF Chat	Adaptive estimation for Hawkes processes; application to genome analysis	2010	Patricia Reynaud-Bouret Sophie Schbath	2
+ PDF Chat	What really causes large price changes?	2004	J. Doyne Farmer László Gillemot Fabrizio Lillo Szabolcs Mike Anindya Sen	2
+	Singular Integrals and Differentiability Properties of Functions.	1971	Elias M. Stein	2
+	Stochastic Models for Earthquake Occurrence	1970	D. Vere‐Jones	2
+	Monte Carlo Methods in Financial Engineering	2003	Paul Glasserman	2
+	Seismicity Analysis through Point-process Modeling: A Review	1999	Yosihiko Ogata	2
+	Power spectra of general shot noises and Hawkes point processes with a random excitation	2002	Pierre Brémaud Laurent Massoulié	2
+	On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs	2012	R. Mikulevíčius	2
+ PDF Chat	How Markets Slowly Digest Changes in Supply and Demand	2009	Jean‐Philippe Bouchaud J. Doyne Farmer Fabrizio Lillo	2
+	On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes	2011	R. Mikulevíčius Ch. Zhang	2
+	Theory of function spaces	1983	Hans Triebel	2
+	High-frequency financial data modeling using Hawkes processes	2012	Valérie Chavez‐Demoulin J.A. McGill	2
+	Spectra of some self-exciting and mutually exciting point processes	1971	Alan G. Hawkes	2
+	Maximum likelihood estimation of Hawkes' self-exciting point processes	1979	T. Ozaki	2
+ PDF Chat	Statistical theory of the continuous double auction	2003	Eric Smith J. Doyne Farmer László Gillemot Supriya Krishnamurthy	2
+	Affine Point Processes and Portfolio Credit Risk	2010	Eymen Errais Kay Giesecke Lisa R. Goldberg	2
+	On the cauchy problem for certain integro-differential operators in Sobolev and Hölder spaces	1992	R. Mikulevíčius H. Pragarauskas	2
+ PDF Chat	Hawkes model for price and trades high-frequency dynamics	2014	Emmanuel Bacry J. F. Muzy	2
+ PDF Chat	Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit	2014	Ban Zheng François Roueff Frédéric Abergel	2
+	On the martingale problem associated with nondegenerate Lévy operators	1992	R. Mikulevíčius H. Pragarauskas	2
+ PDF Chat	Optimal simulation schemes for Lévy driven stochastic differential equations	2013	Arturo Kohatsu‐Higa Salvador Ortiz-Latorre Peter Tankov	2
+	Self-Exciting Point Process Modeling of Crime	2011	George Mohler Martin B. Short P. Jeffrey Brantingham Frederic Paik Schoenberg George Tita	2
+	Theory of Function Spaces III	2006	Hans Triebel	2
+ PDF Chat	Price fluctuations from the order book perspective—empirical facts and a simple model	2001	Sergei Maslov Mark Mills	2
+ PDF Chat	A two-dimensional unstructured cell-centered multi-material ALE scheme using VOF interface reconstruction	2010	Stéphane Galera Pierre‐Henri Maire J. Breil	1
+	A Multiphase Godunov Method for Compressible Multifluid and Multiphase Flows	1999	Richard Saurel Rémi Abgrall	1
+ PDF Chat	Schauder estimates for a class of non-local elliptic equations	2012	Hongjie Dong Doyoon Kim	1
+	A generalization of a Hall theorem	2015	Alexander N. Skiba	1
+ PDF Chat	Regularity of the Optimal Stopping Problem for Jump Diffusions	2012	Erhan Bayraktar Hao Xing	1
+	Partitioning procedures for solving mixed-variables programming problems	1962	J. F. Benders	1
+ PDF Chat	Measuring the resiliency of an electronic limit order book	2006	Jeremy Large	1
+ PDF Chat	Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data	2012	Emmanuel Bacry K. Dayri J. F. Muzy	1