| Publication | Date of Publication | Type |
|---|
Estimation of systemic shortfall risk measure using stochastic algorithms
SIAM Journal on Financial Mathematics | 2024-09-17 | Paper |
Deep learning scheme for forward utilities using ergodic BSDEs
Probability, Uncertainty and Quantitative Risk | 2024-08-13 | Paper |
Utility Maximization Problem with Uncertainty and a Jump Setting
| 2022-10-14 | Paper |
Dynamic utility and related nonlinear SPDEs driven by Lévy noise
International Journal of Theoretical and Applied Finance | 2022-03-29 | Paper |
Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty
The Annals of Applied Probability | 2021-11-04 | Paper |
Large deviation principles of obstacle problems for quasilinear stochastic PDEs
Applied Mathematics and Optimization | 2021-04-23 | Paper |
Quasilinear stochastic PDEs with two obstacles: probabilistic approach
Stochastic Processes and their Applications | 2021-02-18 | Paper |
Dynamic Programming Principle for Backward Doubly Stochastic Recursive Optimal Control Problem and Sobolev Weak Solution of The Stochastic Hamilton-Bellman Equation
| 2020-08-12 | Paper |
\( L^2\)-regularity result for solutions of backward doubly stochastic differential equations
Stochastics and Dynamics | 2020-04-01 | Paper |
An extended mean field game for storage in smart grids
Journal of Optimization Theory and Applications | 2020-02-26 | Paper |
Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids
| 2019-06-20 | Paper |
Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2019-05-23 | Paper |
Exponential Quadratic BSDEs with infinite activity Jumps
| 2019-04-18 | Paper |
Convex duality for Epstein-Zin stochastic differential utility
Mathematical Finance | 2018-11-02 | Paper |
Zhang $L^2$-Regularity for the solutions of Backward Doubly Stochastic Differential Equations under globally Lipschitz continuous assumptions
| 2017-09-22 | Paper |
Backward doubly SDEs and semilinear stochastic PDEs in a convex domain
Stochastic Processes and their Applications | 2017-09-07 | Paper |
Optimal stochastic control problem under model uncertainty with nonentropy penalty
International Journal of Theoretical and Applied Finance | 2017-05-16 | Paper |
Stochastic partial differential equations with singular terminal condition
Stochastic Processes and their Applications | 2017-02-14 | Paper |
Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
Stochastic and Partial Differential Equations. Analysis and Computations | 2016-11-04 | Paper |
Numerical computation for backward doubly SDEs with random terminal time
Monte Carlo Methods and Applications | 2016-09-06 | Paper |
Empirical regression method for backward doubly stochastic differential equations
SIAM/ASA Journal on Uncertainty Quantification | 2016-07-22 | Paper |
Quadratic Exponential Semimartingales and Application to BSDEs with jumps
| 2016-03-20 | Paper |
The obstacle problem for quasilinear stochastic PDEs with non-homogeneous operator
Discrete and Continuous Dynamical Systems | 2016-03-09 | Paper |
The existence and uniqueness result for quasilinear stochastic PDEs with obstacle under weaker integrability conditions
Stochastics and Dynamics | 2015-11-20 | Paper |
Wong-Zakai approximations of backward doubly stochastic differential equations
Stochastic Processes and their Applications | 2015-10-12 | Paper |
Robust utility maximization under convex portfolio constraints
Applied Mathematics and Optimization | 2015-06-15 | Paper |
Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model
Mathematical Finance | 2015-04-24 | Paper |
The obstacle problem for semilinear parabolic partial integro-differential equations
Stochastics and Dynamics | 2015-01-30 | Paper |
Second-order BSDEs with general reflection and game options under uncertainty
Stochastic Processes and their Applications | 2014-08-28 | Paper |
Maximum principle for quasilinear stochastic PDEs with obstacle
Electronic Journal of Probability | 2014-06-27 | Paper |
The obstacle problem for quasilinear stochastic PDEs: analytical approach
The Annals of Probability | 2014-05-19 | Paper |
Second order reflected backward stochastic differential equations
The Annals of Applied Probability | 2014-01-17 | Paper |
Moser iteration applied to parabolic SPDE's: first approach
| 2013-04-03 | Paper |
Maximum principle for quasilinear SPDE's on a bounded domain without regularity assumptions
Stochastic Processes and their Applications | 2013-03-06 | Paper |
Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Robust utility maximization problem in model with jumps and unbounded claim
| 2012-01-12 | Paper |
The obstacle problem for quasilinear stochastic PDE's
The Annals of Probability | 2010-07-19 | Paper |
Sobolev solution for semilinear PDE with obstacle under monotonicity condition
Electronic Journal of Probability | 2009-11-20 | Paper |
Maximum principle and comparison theorem for quasi-linear stochastic PDE's
Electronic Journal of Probability | 2009-11-20 | Paper |
BSDEs and applications
| 2009-03-16 | Paper |
Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
The Annals of Applied Probability | 2008-11-27 | Paper |
A stochastic control approach to a robust utility maximization problem
| 2008-01-17 | Paper |
\(L^p\) estimates for the uniform norm of solutions of quasilinear SPDE's
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2005-12-06 | Paper |
Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
Advances in Applied Probability | 2005-05-03 | Paper |
On the link between small ball probabilities and the quantization problem for Gaussian measures on Banach spaces
Journal of Theoretical Probability | 2003-04-27 | Paper |
Stochastic PDEs driven by nonlinear noise and backward doubly SDEs
Journal of Theoretical Probability | 2002-04-07 | Paper |
Weak solutions for SPDE's and backward doubly stochastic differential equations
Journal of Theoretical Probability | 2001-07-12 | Paper |
scientific article; zbMATH DE number 1066321 (Why is no real title available?)
| 1998-06-01 | Paper |
Reflected solutions of backward stochastic differential equations with continuous coefficient
Statistics & Probability Letters | 1997-08-28 | Paper |
Deep learning scheme for forward utilities using ergodic BSDEs
| N/A | Paper |
