Ruihua Liu

Contact Information

Ruihua Liu

Professor

  • Full-Time Faculty

Profile

Ruihua Liu received his B.E. (1985), M.E. (1988) and Ph.D. (1994) in Engineering Science with a specialization in control theory and application from Nankai University, China. He came to US in 1996 and earned his Ph.D. in mathematics and M.S. in computer science in 2001 from the University of Georgia. He joined the faculty of the University of Dayton's Department of Mathematics in 2004. He was promoted to associate professor with tenure in 2010 and full professor in 2016.

Degrees

  • Ph.D. in Engineering Science with a specialization in control theory and application (1994), Nankai University, China.
  • M.S. in Computer Science (2001), University of Georgia

Research Interests

  • Financial Mathematics and Computational Finance
  • Stochastic Optimal Control and Applications,
  • Applied Stochastic Analysis

Selected Publications

J.P. Liu, R.H. Liu and D. Ren, Investment and consumption in regime-switching models with proportional transaction costs and log utility. Journal of Mathematical Control and Related Fields (MCRF), Vol. 7, No. 3 (2017), 465-491.

J.X. Jiang, R.H. Liu and D. Nguyen, A recombining tree method for option pricing with state dependent switching rates. Int. J. Theor. Appl. Finance, Vol. 19, No. 2 (2016), 1650012 (26 pages). DOI: 10.1142/S0219024916500126.

R.H. Liu, Optimal stopping of switching diffusions with state dependent switching rates. Stochastics An International Journal of Probability and Stochastic Processes, Vol. 88, No. 4 (2016), 586-605. DOI: 10.1080/17442508.2015.1110152.

R.H. Liu, Optimal investment and consumption with proportional transaction costs in regime-switching model. Journal of Optimization Theory and Applications, Vol. 163, No. 2 (2014), 614-641. DOI 10.1007/s10957-013-0445-y.

R.H. Liu, A finite-horizon optimal investment and consumption problem using regime-switching models. Int. J. Theor. Appl. Finance, Vol. 17, No. 4 (2014) 1450027 (18 pages). DOI: 10.1142/S0219024914500277.

R.H. Liu and J.L. Zhao, A lattice method for option pricing with two underlying assets in regime-switching model. Journal of Computational and Applied Mathematics, Vol. 250 (2013), 96-106.

R.H. Liu, A new tree method for pricing financial derivatives in a regime-switching mean-reverting model. Nonlinear Analysis: Real World Applications, Vol. 13 (2012), 2609-2621.

Eloe and R.H. Liu, Upper and lower solutions for regime-switching diffusions with applications in
financial mathematics. SIAM Journal on Applied Mathematics, Vol. 71, No.4 (2011), 1354-1371

R.H. Liu, Regime-switching recombining tree for option pricing. Int. J. Theor. Appl. Finance, Vol. 13, No. 3 (2010), 479-499.

P. Eloe, R.H. Liu, M. Yatsuki, G. Yin and Q. Zhang, Optimal selling rules in a regime-switching exponential Gaussian diffusion model. SIAM Journal on Applied Mathematics, Vol. 69, No. 3 (2008), 810-829.

R.H. Liu, Q. Zhang and G. Yin, Option pricing in a regime switching model using the Fast Fourier Transform. Journal of Applied Mathematics and Stochastic Analysis, Vol. 2006, Article ID 18109, doi:10.1155/JAMSA/2006/18109.

A. Bensoussan, R.H. Liu and S.P. Sethi, Optimality of an (s, S) policy with compound Poisson and diffusion demands: a QVI approach. SIAM Journal on Control and Optimization, Vol. 44, No. 5 (2006), 1650-1676.

G. Yin, Q. Zhang, F. Liu, R.H. Liu and Y. Cheng, Stock liquidation via stochastic approximation using NASDAQ daily and intra-day data. Mathematical Finance, Vol. 16, No. 1 (2006), 217-236.

Q. Zhang, G. Yin and R.H. Liu, A Near-optimal selling rule for a two-time-scale market model. SIAM Journal on Multiscale Modeling and Simulation, Vol. 4, No. 1 (2005), 172-193.

G. Yin, R.H. Liu and Q. Zhang, Recursive algorithms for stock liquidation: a stochastic optimization approach. SIAM Journal on Optimization, Vol. 13, No. 1 (2002), 240-263.

R.H. Liu, Q. Zhang and G. Yin, Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time. Automatica, Vol. 38 (2002), 409-419.

R.H. Liu, Q. Zhang and G. Yin, Nearly optimal control of singularly perturbed Markov decision processes in discrete time. Applied Mathematics and Optimization , Vol. 44 (2001), 105-129.

R.H. Liu and Q. Zhang, Nonlinear ltering: a hybrid approximation scheme. IEEE Trans. Aerospace and Electronic System, Vol. 37, No. 4 (2001), 470-480.

R.H. Liu, Q. Zhang and G. Yin, Nearly optimal control of nonlinear Markovian systems subject to weak and strong interactions. Stoch. Anal. Appl, Vol. 19, No. 3 (2001), 361-386.

R.H. Liu, Q. Zhang and G. Yin, Singularly perturbed Markov decision processes with inclusion of transient states. J. Systems Science and Complexity, Vol. 14, No. 2 (2001), 199-211.