Hui Wang, Publications

Subsolutions of an Isaacs equation and efficient schemes for importance sampling (with P. Dupuis). Math. Oper. Res. 32, 723-757, 2007.

Dynamic importance sampling for queuing networks (with P. Dupuis and A.D. Sezer). Ann. Appl. Prob. 17, 1306-1346, 2007.

Notes on importance sampling for random variables with regularly varying heavy tails (with P. Dupuis and K. Leder). ACM Trans. Modeling Comp. Simulation. 17 (3), Article 14, 2007.

Pricing path-dependent options with jump risk via Laplace transform (with S. Kou and G. Petrella).  Kyoto Econ. Review. 74, 1-23, 2006.

On the convergence from discrete to continuous time in an optimal stopping problem (with P. Dupuis). Annals of Applied Probability 15, 1339-1366, 2005.

On the optimality of conditional expectation as a Bregman predictor (with A. Banerjee and X. Guo). IEEE. Transactions on Information Theory 51 (7), 2664-2669, 2005.

Dynamic importance sampling for uniformly recurrent Markov chains (with P. Dupuis). Annals of Applied Probability 15, 1-38, 2005.

A sequential entry problem with forced exits. Mathematics of Operations Research 30 (2), 501-520, 2005.

Importance sampling, large deviations, and differential games (with P. Dupuis). Stochastics and Stochastics Reports 76 (6), 481-508, 2004.

Option pricing under a double exponential jump diffusion models (with S.G. Kou). Management Sciences 50, 1178-1192, 2004.

Control with partial observations and an explicit solution of Mortensen equation (with V. Benes, I. Karatzas, and D. Ocone).  Applied Mathematics and Optimization 49, 217-239, 2

First passage times of a jump diffusion process (with S. Kou). Advances in Applied Probability 35, 504-531, 2003.

A capacity expansion problem featuring exponential jump diffusion processes. Stochastics and Stochastics Reports 75, 259-274, 2003.

Optimal stopping with random intervention times (with P. Dupuis). Advances in Applied Probability 34, 141-157, 2002.

Some control problems with random intervention times. Advances in Applied Probability 33, 402-422, 2001.

On optimal terminal wealth under transaction costs (with J. Cvitanic). Journal of Mathematical Economics 35, 223-231, 2001.

Utility maximization with random endowments in incomplete markets (with J. Cvitanic and Schachermayer). Finance and Stochastics 5, No. 2, 259-272, 2001.

Connections between bounded variation control and Dynkin games (with I. Karatzas). Optimal Control and Partial Differential Equations 353-362, 2001. Volume in honour Professor Alain Bensoussan's 60th Birthday.  IOS Press, Amsterdam.

Utility maximization with discretionary stopping (with I. Karatzas). SIAM J. on Control and Optimization 39, No. 1, 306-329, 2000.

Discretization of deflated bond prices (with P. Glasserman). Advances in Applied Probability 32, 540-563, 2000.

A barrier option of American type (with I. Karatzas). Applied Mathematics and Optimization 42, 259-280, 2000.

A finite-fuel control problem with discretionary stopping (with I. Karatzas, D. Ocone, and M. Zervos). Stochastics and Stochastics Reports 71, 1-50, 2000.

A minimization problem arising from prescribing scalar curvature functions (with L. Ma). Math. Z. 222, 1-6, 1996.

To Appear

Large deviations for weighted-serve-the-longest-queue policy (with P. Dupuis and K. Leder). Progress in Probability, V. Sidoravicius and M.E. Vares (Editors). X EBP, Brazil.

Large deviations and importance sampling for a tandem network with slowdown. QUESTA, special issue.