| Publication | Date of Publication | Type |
|---|
Stability of traveling wave solutions in a credit rating migration Free Boundary Problem
(available as arXiv preprint) | N/A | Paper |
Structural pricing of a corporate bond with jumps and credit rating migration
Journal of Mathematical Analysis and Applications | 2026-08-21 | Paper |
Randomized Optimal Switching Problem and Related Mirror Descent Flow
(available as arXiv preprint) | 2026-01-01 | Paper |
Optimal carbon emission control with allowances purchasing
IMA Journal of Applied Mathematics | 2026-01-01 | Paper |
Stability of traveling wave solutions in a credit rating migration free boundary problem
SIAM Journal on Mathematical Analysis | 2025-01-16 | Paper |
A Two-fold Randomization Framework for Impulse Control Problems
(available as arXiv preprint) | 2025-01-01 | Paper |
The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations | 2024-12-13 | Paper |
Learning equilibrium mean‐variance strategy
Mathematical Finance | 2024-01-31 | Paper |
Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
Journal of Differential Equations | 2023-09-18 | Paper |
Optimal Stochastic Control Problem for a Carbon Emission Reduction Process
SIAM Journal on Applied Mathematics | 2023-06-21 | Paper |
Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps
Applied Mathematics and Optimization | 2022-11-11 | Paper |
| Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm | 2022-08-03 | Paper |
Jump stochastic differential equations with non-Lipschitz and superlinearly growing coefficients
Stochastics | 2022-07-05 | Paper |
The obstacle problem for quasilinear stochastic integral-partial differential equations
Stochastics | 2022-07-05 | Paper |
| The Relationship between Maximum Principle and Dynamic Programming Principle for Stochastic Recursive Control Problem with Random Coefficients | 2020-12-08 | Paper |
Dynamic programming principle and viscosity solutions of Hamilton-Jacobi-Bellman equations for stochastic recursive control problem with non-Lipschitz generator
Applied Mathematics and Optimization | 2020-09-09 | Paper |
Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients
SIAM Journal on Control and Optimization | 2020-01-31 | Paper |
Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients
SIAM Journal on Control and Optimization | 2020-01-31 | Paper |
The obstacle problem for quasilinear stochastic PDEs with Neumann boundary condition
Stochastics and Dynamics | 2019-10-17 | Paper |
Second-order necessary conditions for optimal control with recursive utilities
Journal of Optimization Theory and Applications | 2019-08-13 | Paper |
Constrained LQ problem with a random jump and application to portfolio selection
Chinese Annals of Mathematics. Series B | 2018-11-15 | Paper |
| Utility maximization for L{\'e}vy switching models | 2018-07-24 | Paper |
The Obstacle Problem for Quasilinear Stochastic Integral-Partial Differential Equations
(available as arXiv preprint) | 2018-04-22 | Paper |
