Bingyan Han

MaRDI QIDQ2024119zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Distributionally robust risk evaluation with a causality constraint and structural information Mathematical Finance	2026-01-26	Paper
Robust time-inconsistent linear-quadratic stochastic controls: a stochastic differential game approach Applied Mathematics and Optimization	2025-10-13	Paper
Fitted value iteration methods for bicausal optimal transport Applied Mathematics and Optimization	2025-08-21	Paper
Distributionally robust Kalman filtering with volatility uncertainty IEEE Transactions on Automatic Control	2025-07-11	Paper
Short Communication: Existence of Markov Equilibrium Control in Discrete Time SIAM Journal on Financial Mathematics	2024-01-05	Paper
Distributionally robust Kalman filtering with volatility uncertainty	2023-02-12	Paper
Equilibrium transport with time-inconsistent costs: An application to matching problems in the job market	2023-02-02	Paper
Cooperation between independent market makers Quantitative Finance	2022-11-18	Paper
Robust time-inconsistent stochastic linear-quadratic control with drift disturbance Applied Mathematics and Optimization	2022-06-10	Paper
COVID-19 and credit risk: a long memory perspective Insurance Mathematics & Economics	2022-05-12	Paper
Robust control in a rough environment Quantitative Finance	2022-05-05	Paper
Time-inconsistency with rough volatility SIAM Journal on Financial Mathematics	2022-01-10	Paper
Robust state-dependent mean-variance portfolio selection: a closed-loop approach Finance and Stochastics	2021-08-27	Paper
Mean-variance portfolio selection under Volterra Heston model Applied Mathematics and Optimization	2021-08-11	Paper
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility Mathematics and Financial Economics	2021-05-03	Paper
Optimal investment and consumption problems under correlation ambiguity IMA Journal of Management Mathematics	2020-09-30	Paper

Research outcomes over time

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