| Publication | Date of Publication | Type |
|---|
Penalty method for portfolio selection with capital gains tax
Mathematical Finance | 2023-09-28 | Paper |
Free boundary and retirement benefits pricing in a jump-diffusion model
Journal of Nonlinear and Variational Analysis | 2021-09-23 | Paper |
Bellman equation for an optimal stock liquidation model with stochastic market impact
| 2021-07-06 | Paper |
Optimal dividend policy in an insurance company with contagious arrivals of claims
Mathematical Control and Related Fields | 2021-05-05 | Paper |
The optimal execution strategy of employee stock options
Journal of Applied Analysis & Computation | 2021-01-29 | Paper |
Optimal dividend payment in an insurance company with stationary Hawkes process
| 2021-01-14 | Paper |
OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK
Journal of Applied Analysis & Computation | 2020-09-11 | Paper |
Optimal investment and dividend policy in an insurance company: a varied bound for dividend rates
Discrete and Continuous Dynamical Systems. Series B | 2019-08-28 | Paper |
Turnpike property and convergence rate for an investment and consumption model
Mathematics and Financial Economics | 2019-06-18 | Paper |
Utility maximization under trading constraints with discontinuous utility
SIAM Journal on Financial Mathematics | 2019-05-14 | Paper |
The valuation of American passport options: a viscosity solution approach
Journal of Optimization Theory and Applications | 2019-03-06 | Paper |
Turnpike property and convergence rate for an investment model with general utility functions
Journal of Economic Dynamics and Control | 2018-11-15 | Paper |
Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact
Discrete and Continuous Dynamical Systems. Series B | 2016-09-30 | Paper |
Well-posedness of stochastic KdV-BO equation driven by fractional Brownian motion
Applied Mathematics and Computation | 2016-04-29 | Paper |
Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
Discrete and Continuous Dynamical Systems | 2016-03-09 | Paper |
Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model
Journal of Optimization Theory and Applications | 2014-06-30 | Paper |
Discussion and application of an ordinary differential equation with non-local integral term
| 2013-06-20 | Paper |
The regularized implied local volatility equations -- a new model to recover the volatility of underlying asset from observed market option price
Discrete and Continuous Dynamical Systems. Series B | 2012-09-12 | Paper |
A constant rank theorem for quasiconcave solutions of fully nonlinear partial differential equations
Indiana University Mathematics Journal | 2012-05-30 | Paper |
Smooth value functions for a class of nonsmooth utility maximization problems
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Pricing European style credit spread options
| 2012-01-27 | Paper |
Optimal decision for selling an illiquid stock
Journal of Optimization Theory and Applications | 2012-01-12 | Paper |
Pricing of perpetual convertible bonds with credit risk under a framework of reduced form
| 2011-07-19 | Paper |
The pricing of perpetual convertible bond with credit risk
Applied Mathematics. Series B (English Edition) | 2011-07-19 | Paper |
Pricing of credit default swap based on credit rating
| 2011-07-19 | Paper |
Viscosity solutions of HJB equations arising from the valuation of European passport options
Acta Mathematica Scientia. Series B. (English Edition) | 2011-02-05 | Paper |
scientific article; zbMATH DE number 5778343 (Why is no real title available?)
| 2010-09-02 | Paper |
A structural condition for microscopic convexity principle
Discrete and Continuous Dynamical Systems | 2010-07-23 | Paper |
Parameter identification for a model of tumor growth in the presence of inhibitors
| 2010-07-08 | Paper |
A microscopic convexity principle for nonlinear partial differential equations
Inventiones Mathematicae | 2009-08-10 | Paper |
Pricing analysis of Delibao-related financial product
| 2009-07-22 | Paper |
Convexity preserving for fully nonlinear parabolic integro-differential equations
Methods and Applications of Analysis | 2009-06-30 | Paper |
Pricing corporate bonds with both expected and unexpected defaults
| 2009-03-06 | Paper |
On the rate of convergence of the binomial tree scheme for American options
Numerische Mathematik | 2007-10-16 | Paper |
Free boundary and American options in a jump-diffusion model
European Journal of Applied Mathematics | 2007-02-07 | Paper |
A parabolic variational inequality arising from the valuation of fixed rate mortgages
European Journal of Applied Mathematics | 2006-03-09 | Paper |
The Second Order Estimate for Fully Nonlinear Uniformly Elliptic Equations without Concavity Assumption
| 2005-06-24 | Paper |
Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
SIAM Journal on Numerical Analysis | 2005-03-01 | Paper |
scientific article; zbMATH DE number 2109566 (Why is no real title available?)
| 2004-10-25 | Paper |
scientific article; zbMATH DE number 2042577 (Why is no real title available?)
| 2004-02-15 | Paper |
scientific article; zbMATH DE number 1839707 (Why is no real title available?)
| 2003-08-20 | Paper |
Viscosity solutions of the implicit obstacle problems.
Communications on Applied Nonlinear Analysis | 2002-04-08 | Paper |
Existence of solutions for fully nonlinear parabolic equations with discontinuous free terms.
Communications on Applied Nonlinear Analysis | 2002-04-08 | Paper |
Location of the vortices for the Ginzburg-Landau functional.
Communications on Applied Nonlinear Analysis | 2002-04-08 | Paper |
A note on regularity for a class of quasilinear elliptic equations
Applied Mathematics. Series B (English Edition) | 2001-10-10 | Paper |
A remark on the smooth linear partial differential equations in two variables without solutions
Applied Mathematics. Series B (English Edition) | 2001-07-10 | Paper |
scientific article; zbMATH DE number 1330223 (Why is no real title available?)
| 2001-05-15 | Paper |
scientific article; zbMATH DE number 1488181 (Why is no real title available?)
| 2000-08-10 | Paper |
Dirichlet problem for the implicit obstacle problems
Applied Mathematics. Series B (English Edition) | 1999-05-11 | Paper |
scientific article; zbMATH DE number 790942 (Why is no real title available?)
| 1996-04-29 | Paper |
scientific article; zbMATH DE number 853699 (Why is no real title available?)
| 1996-03-10 | Paper |
scientific article; zbMATH DE number 495912 (Why is no real title available?)
| 1994-02-24 | Paper |
The regularity of viscosity solutions for a class of fully nonlinear equations
Science in China. Series A | 1993-01-17 | Paper |
A remark on the uniqueness of the harmonic maps
Chinese Annals of Mathematics. Series B | 1992-09-27 | Paper |
scientific article; zbMATH DE number 20114 (Why is no real title available?)
| 1992-06-26 | Paper |
scientific article; zbMATH DE number 4202862 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4202840 (Why is no real title available?)
| 1990-01-01 | Paper |
Uniqueness of viscosity solutions of fully nonlinear second order parabolic PDE's
Chinese Annals of Mathematics. Series B | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4086156 (Why is no real title available?)
| 1988-01-01 | Paper |
