| Publication | Date of Publication | Type |
|---|
An extended Merton problem with relaxed benchmark tracking
Mathematical Finance | 2026-03-06 | Paper |
A mean field game approach to equilibrium consumption under external habit formation
Stochastic Processes and their Applications | 2024-11-12 | Paper |
A mean field game approach to optimal investment and risk control for competitive insurers
Insurance Mathematics & Economics | 2024-05-24 | Paper |
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
Mathematics of Operations Research | 2024-02-23 | Paper |
| De Finetti's Control Problem with Poisson Observations under Spectrally Positive Markov Additive Process | 2023-11-08 | Paper |
Higher-order stochastic partial differential equations with branching noises
Frontiers of Mathematics in China | 2023-11-02 | Paper |
| A decomposition-homogenization method for Robin boundary problems on the nonnegative orthant | 2023-06-14 | Paper |
| On De Finetti's control under Poisson observations: optimality of a double barrier strategy in a Markov additive model | 2022-10-14 | Paper |
Approximating Nash equilibrium for optimal consumption in stochastic growth model with jumps
Acta Mathematica Sinica, English Series | 2022-10-13 | Paper |
Large Sample Mean-Field Stochastic Optimization
SIAM Journal on Control and Optimization | 2022-08-23 | Paper |
Probabilistic analysis of replicator–mutator equations
Advances in Applied Probability | 2022-03-31 | Paper |
| scientific article; zbMATH DE number 7492396 (Why is no real title available?) | 2022-03-17 | Paper |
Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
Quantitative Finance | 2021-12-01 | Paper |
| The optimal MFG switching strategy of prevention efforts for COVID-19 | 2021-09-29 | Paper |
| Mean Field Game of Optimal Relative Investment with Jump Risk | 2021-08-02 | Paper |
Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
Applied Mathematics and Optimization | 2020-09-09 | Paper |
Risk-sensitive asset management and cascading defaults
Mathematics of Operations Research | 2020-03-11 | Paper |
Portfolio optimization of credit swap under funding costs
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Credit portfolio selection with decaying contagion intensities
Mathematical Finance | 2019-05-08 | Paper |
Optimal credit investment and risk control for an insurer with regime-switching
Mathematics and Financial Economics | 2019-05-08 | Paper |
The pricing of basket options: a weak convergence approach
Operations Research Letters | 2019-02-22 | Paper |
Optimal investment and risk control for an insurer with stochastic factor
Operations Research Letters | 2019-02-22 | Paper |
| Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors | 2018-11-28 | Paper |
Portfolio Choice with Market--Credit-Risk Dependencies
SIAM Journal on Control and Optimization | 2018-08-24 | Paper |
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
Dynamic investment and counterparty risk
Applied Mathematics and Optimization | 2018-03-14 | Paper |
Optimal credit investment with borrowing costs
Mathematics of Operations Research | 2017-06-02 | Paper |
Optimal investment under information driven contagious distress
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
Robust optimization of credit portfolios
Mathematics of Operations Research | 2017-04-13 | Paper |
Stochastic delay differential equations with jump reflection: invariant measure
Stochastics | 2016-11-25 | Paper |
Optimal investment in credit derivatives portfolio under contagion risk
Mathematical Finance | 2016-11-01 | Paper |
Stability in distribution of Markov-modulated stochastic differential delay equations with reflection
Stochastic Models | 2016-08-08 | Paper |
Systemic risk in interbanking networks
SIAM Journal on Financial Mathematics | 2015-06-26 | Paper |
Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling
Science China. Mathematics | 2014-12-02 | Paper |
Bilateral credit valuation adjustment for large credit derivatives portfolios
Finance and Stochastics | 2014-11-07 | Paper |
Erratum to ``Lévy risk model with two-sided jumps and a barrier dividend strategy
Insurance Mathematics & Economics | 2014-07-16 | Paper |
Credit Derivatives Pricing Based on Lévy Field Driven Term Structure
Stochastic Analysis and Applications | 2014-05-02 | Paper |
On the default probability in a regime-switching regulated market
Methodology and Computing in Applied Probability | 2014-04-14 | Paper |
On the conditional default probability in a regulated market with jump risk
Quantitative Finance | 2014-03-04 | Paper |
On the conditional default probability in a regulated market: a structural approach
Quantitative Finance | 2013-12-13 | Paper |
Kernel-correlated Lévy field driven forward rate and application to derivative pricing
Applied Mathematics and Optimization | 2013-10-21 | Paper |
Optimal investment and consumption with default risk: HARA utility
Asia-Pacific Financial Markets | 2013-09-20 | Paper |
Large deviation for the nonlocal Kuramoto-Sivashinsky SPDE
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2013-04-22 | Paper |
Optimal portfolio and consumption selection with default risk
Frontiers of Mathematics in China | 2013-04-10 | Paper |
First passage times of reflected generalized Ornstein-Uhlenbeck processes
Stochastics and Dynamics | 2013-03-05 | Paper |
First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps
Queueing Systems | 2013-01-28 | Paper |
First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers
Journal of Applied Probability | 2013-01-19 | Paper |
Stochastic portfolio optimization with default risk
Journal of Mathematical Analysis and Applications | 2012-11-22 | Paper |
Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
Statistics & Probability Letters | 2012-08-30 | Paper |
Lévy risk model with two-sided jumps and a barrier dividend strategy
Insurance Mathematics & Economics | 2012-04-18 | Paper |
Markov-modulated jump-diffusions for currency option pricing
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Derivative pricing based on the exchange rate in a target zone with realignment
International Journal of Theoretical and Applied Finance | 2011-11-22 | Paper |
First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries
Journal of Applied Probability | 2011-10-25 | Paper |
A note on stability in distribution of Markov-modulated stochastic differential equations with reflection
Computers & Mathematics with Applications | 2011-10-18 | Paper |
Support theorem for a stochastic Cahn-Hilliard equation
Electronic Journal of Probability | 2011-09-09 | Paper |
Exponential change of measure applied to term structures of interest rates and exchange rates
Insurance Mathematics & Economics | 2011-08-02 | Paper |
Mean first passage times of two-dimensional processes with jumps
Statistics & Probability Letters | 2011-07-26 | Paper |
On a stochastic interacting model with stepping-stone noises
Statistics & Probability Letters | 2011-07-26 | Paper |
Some integral functionals of reflected SDEs and their applications in finance
Quantitative Finance | 2011-04-28 | Paper |
An optimal portfolio problem in a defaultable market
Advances in Applied Probability | 2010-11-26 | Paper |
Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
Journal of Statistical Planning and Inference | 2010-10-22 | Paper |
Variational solutions of dissipative jump-type stochastic evolution equations
Journal of Mathematical Analysis and Applications | 2010-10-22 | Paper |
Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients
Frontiers of Mathematics in China | 2010-09-22 | Paper |
On a stochastic wave equation driven by a non-Gaussian Lévy process
Journal of Theoretical Probability | 2010-04-23 | Paper |
Large deviations for perturbed reflected diffusion processes
Stochastics | 2010-03-18 | Paper |
Jump type Cahn-Hilliard equations with fractional noises
Chinese Annals of Mathematics. Series B | 2009-12-15 | Paper |
Approximating solutions of neutral stochastic evolution equations with jumps
Science in China. Series A | 2009-12-02 | Paper |
From Markov jump systems to two species competitive Lotka-Volterra equations with diffusion
Acta Mathematica Sinica, English Series | 2009-11-11 | Paper |
STOCHASTIC CAHN–HILLIARD EQUATION WITH FRACTIONAL NOISE
Stochastics and Dynamics | 2009-02-09 | Paper |
Lyapunov exponent estimates of a class of higher-order stochastic Anderson models
Proceedings of the American Mathematical Society | 2008-10-28 | Paper |
ON A NONLOCAL STOCHASTIC KURAMOTO–SIVASHINSKY EQUATION WITH JUMPS
Stochastics and Dynamics | 2008-05-20 | Paper |
On a Class of Stochastic Anderson Models with Fractional Noises
Stochastic Analysis and Applications | 2008-04-29 | Paper |
Discontinuous Galerkin method for elliptic stochastic partial differential equations on two and three dimensional spaces
Science in China. Series A | 2008-03-11 | Paper |
Explosive solutions of stochastic wave equations with damping on \(\mathbb R^d\)
Journal of Differential Equations | 2008-01-15 | Paper |
On the first passage times of reflected O-U processes with two-sided barriers
Queueing Systems | 2007-01-04 | Paper |
STOCHASTIC CAHN–HILLIARD PARTIAL DIFFERENTIAL EQUATIONS WITH LÉVY SPACETIME WHITE NOISES
Stochastics and Dynamics | 2006-08-14 | Paper |
