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WEI WEI
WEI WEI
Assistant Professor, Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Verified email at hw.ac.uk - Homepage
Title
Cited by
Cited by
Year
Weighted discounting -- On group diversity, time-inconsistency, and consequences for investment
S Ebert, W Wei, XY Zhou
Journal of Economic Theory 189, 2020
50*2020
Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle
KS Tan, P Wei, W Wei, SC Zhuang
European Journal of Operational Research 282 (1), 345-362, 2020
432020
Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency
KS Tan, W Wei, XY Zhou
SIAM Journal on Control and Optimization 59 (6), 4136-4154, 2021
252021
Optimal switching at Poisson random intervention times
G Liang, W Wei
Discrete and Continuous Dynamic Systems Series B 21 (5), 1483-1505, 2016
222016
Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model
G Liang, E Lütkebohmert, W Wei
Mathematics and Financial Economics 9, 271-302, 2015
21*2015
A FULLY NON-LINEAR PDE PROBLEM FROM PRICING CDS WITH COUNTERPARTY RISK.
B Hu, L Jiang, J Liang, W Wei
Discrete & Continuous Dynamical Systems-Series B 17 (6), 2012
122012
On the Time-Inconsistent Deterministic Linear-Quadratic Control
H Cai, D Chen, Y Peng, W Wei
SIAM Journal on Control and Optimization 60 (2), 968-991, 2022
62022
Solutions to Equilibrium HJB Equations for Time-Inconsistent Deterministic Linear Quadratic Control: Characterization and Uniqueness
Y Peng, W Wei
arXiv preprint arXiv:2308.13850, 2023
12023
Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms
C Sun, KS Tan, W Wei
arXiv preprint arXiv:2201.09105, 2022
12022
Financial mathematics series: mathematical models and case analysis of credit risk valuation (Chinese edition)
L Jiang, J Liang, X Ren, W Wei
Higher Education Press, 2014
2014
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Articles 1–10