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Dr Ruyi Liu

Dr Ruyi Liu

Lecturer
Science
School of Mathematics & Statistics

Biography:

I am a Lecturer in Financial Mathematics at the School of Mathematics and Statistics. (Homepage~ https://ruyi-liu61.github.io/ ) My research focuses on stochastic control (game), (backward) stochastic differential equations, and their applications in the financial and electricity markets.

Profession:

  • Research fellow, Hong Kong Polytechnic University, 2024-2025
  • Postdoc, The University of Sydney, 2021-2024

 

Education:

  • BSc & PhD in Mathematics (Financial Mathematics), Shandong University

 
E-mail
ruyi.liu2@unsw.edu.au
Location
Anita B. Lawrence Centre School of Mathematics and Statistics UNSW Sydney
  • Journal articles | 2025
    Liu R; Tie J; Wu Z; Zhang Q, 2025, 'PAIRS TRADING: AN OPTIMAL SELLING RULE WITH CONSTRAINTS', Communications in Mathematical Sciences, 23, pp. 1837 - 1858, http://dx.doi.org/10.4310/cms.250802024704
    Journal articles | 2025
    Ma Y; Li Z; Liu R; Liu B; Yu SS; Liao X; Shi P, 2025, 'Data-Driven interval robust optimization method of VPP Bidding strategy in spot market under multiple uncertainties', Applied Energy, 384, http://dx.doi.org/10.1016/j.apenergy.2025.125366
    Journal articles | 2024
    Li L; Liu R; Rutkowski M, 2024, 'Penalization schemes for BSDEs and reflected BSDEs with generalized driver', Probability Uncertainty and Quantitative Risk, 9, pp. 301 - 338, http://dx.doi.org/10.3934/puqr.2024014
    Journal articles | 2024
    Xu H; Liu R; Rutkowski M, 2024, 'Equity protection swaps: investment insurance for superannuation accounts', Quantitative Finance, 24, pp. 1773 - 1797, http://dx.doi.org/10.1080/14697688.2024.2435037
    Journal articles | 2023
    Chen T; Liu R; Wu Z, 2023, 'Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon', Journal of Systems Science and Complexity, 36, pp. 457 - 479, http://dx.doi.org/10.1007/s11424-023-1272-3
    Journal articles | 2022
    Liu R; Tie J; Wu Z; Zhang Q, 2022, 'An optimal pricing policy under a Markov chain model', Science China Mathematics, 65, pp. 1065 - 1080, http://dx.doi.org/10.1007/s11425-020-1799-2
    Journal articles | 2022
    Liu R; Wu Z; Zhang D, 2022, 'Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations', ESAIM Control Optimisation and Calculus of Variations, 28, http://dx.doi.org/10.1051/cocv/2022073
    Journal articles | 2020
    Liu R; Wu Z; Zhang Q, 2020, 'Pairs-trading under geometric Brownian motions: An optimal strategy with cutting losses', Automatica, 115, http://dx.doi.org/10.1016/j.automatica.2020.108912
    Journal articles | 2019
    Liu R; Wu Z, 2019, 'Well-Posedness of Fully Coupled Linear Forward-Backward Stochastic Differential Equations', Journal of Systems Science and Complexity, 32, pp. 789 - 802, http://dx.doi.org/10.1007/s11424-018-7424-1
    Journal articles | 2018
    Liu R; Wu Z, 2018, 'Well-posedness of a class of two-point boundary value problems associated with ordinary differential equations', Advances in Difference Equations, 2018, http://dx.doi.org/10.1186/s13662-018-1510-5
  • Conference Papers | 2024
    Ma Y; Chen Y; Liao X; Liu B; Liu R; Li Z, 2024, 'Two-Stage Robust Optimization Method for Joint System Considering Uncertainty of Electric Vehicles', in 2024 8th International Conference on Power Energy Systems and Applications Icopesa 2024, pp. 147 - 153, http://dx.doi.org/10.1109/ICOPESA61191.2024.10743841

Research interests:

  • Stochastic Control (Game)
  • Financial Mathematics
  • Backward Stochastic Differential Equations