| Publication | Date of Publication | Type |
|---|
Convergence analysis for entropy-regularized control problems: a probabilistic approach
SIAM Journal on Control and Optimization | 2026-04-28 | Paper |
Linear complementary dual codes constructed from reinforcement learning
Journal of Systems Science and Complexity | 2025-07-30 | Paper |
Set-valued stochastic differential equations with unbounded coefficients
Set-Valued and Variational Analysis | 2025-05-04 | Paper |
Uniform large deviations for stochastic Burgers–Huxley equation driven by multiplicative noise
Stochastics | 2025-02-12 | Paper |
Stability of strong viscous shock wave under periodic perturbation for 1-D isentropic Navier-Stokes system in the half space
Journal of Differential Equations | 2024-04-29 | Paper |
| Reinforcement Learning for optimal dividend problem under diffusion model | 2023-09-18 | Paper |
A general conditional McKean-Vlasov stochastic differential equation
The Annals of Applied Probability | 2023-06-05 | Paper |
Optimal investment and dividend strategy under renewal risk model
SIAM Journal on Control and Optimization | 2022-01-07 | Paper |
Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions
Probability, Uncertainty and Quantitative Risk | 2021-02-16 | Paper |
| On Optimal Dividend and Investment Strategy under Renewal Risk Models | 2019-08-30 | Paper |
Optimal dividend and investment problems under Sparre Andersen model
The Annals of Applied Probability | 2018-03-08 | Paper |
Optimal dividend and investment problems under Sparre Andersen model
The Annals of Applied Probability | 2018-03-08 | Paper |
A mean-field stochastic control problem with partial observations
The Annals of Applied Probability | 2018-01-04 | Paper |
A mean-field stochastic control problem with partial observations
The Annals of Applied Probability | 2018-01-04 | Paper |
A stochastic maximum principle for general mean-field systems
Applied Mathematics and Optimization | 2017-04-03 | Paper |
Large deviations for non-Markovian diffusions and a path-dependent eikonal equation
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2016-10-26 | Paper |
Large deviations for non-Markovian diffusions and a path-dependent eikonal equation
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2016-10-26 | Paper |
Dynamic equilibrium limit order book model and optimal execution problem
Mathematical Control and Related Fields | 2015-07-30 | Paper |
A biographical note and tribute to Xunjing Li on his 80th birthday
Mathematical Control and Related Fields | 2015-07-30 | Paper |
On well-posedness of forward-backward SDEs -- a unified approach
The Annals of Applied Probability | 2015-07-27 | Paper |
On well-posedness of forward-backward SDEs -- a unified approach
The Annals of Applied Probability | 2015-07-27 | Paper |
Pathwise Taylor expansions for random fields on multiple dimensional paths
Stochastic Processes and their Applications | 2015-06-11 | Paper |
Stochastic differential equations driven by fractional Brownian motion and Poisson point process
Bernoulli | 2015-05-19 | Paper |
Stochastic differential equations driven by fractional Brownian motion and Poisson point process
Bernoulli | 2015-05-19 | Paper |
Optimal portfolio selection under concave price impact
Applied Mathematics and Optimization | 2013-08-26 | Paper |
The law of large numbers for self-exciting correlated defaults
Stochastic Processes and their Applications | 2012-07-20 | Paper |
Pathwise Taylor expansions for Itô random fields
Mathematical Control and Related Fields | 2012-06-18 | Paper |
On weak solutions of forward-backward SDEs
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-02-13 | Paper |
Correlated intensity, counter party risks, and dependent mortalities
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Stochastic differential equations driven by fractional Brownian motions
Bernoulli | 2010-11-12 | Paper |
Four step scheme for general Markovian forward-backward SDEs
Journal of Systems Science and Complexity | 2010-11-03 | Paper |
On quadratic \(g\)-evaluations/expectations and related analysis
Stochastic Analysis and Applications | 2010-08-11 | Paper |
| Indifference pricing of universal variable life insurance | 2010-07-09 | Paper |
| scientific article; zbMATH DE number 5734666 (Why is no real title available?) | 2010-07-09 | Paper |
Optimal portfolios in Lévy markets under state-dependent bounded utility functions
International Journal of Stochastic Analysis | 2010-04-26 | Paper |
Backward SDEs with constrained jumps and quasi-variational inequalities
The Annals of Probability | 2010-04-21 | Paper |
On variant reflected backward SDEs, with applications
Journal of Applied Mathematics and Stochastic Analysis | 2009-11-23 | Paper |
On Numerical Approximations of Forward-Backward Stochastic Differential Equations
SIAM Journal on Numerical Analysis | 2009-11-06 | Paper |
Optimal reinsurance/investment problems for general insurance models
The Annals of Applied Probability | 2009-08-27 | Paper |
Weak solutions for forward-backward SDEs-a martingale problem approach
The Annals of Probability | 2009-01-27 | Paper |
Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations
Stochastic Processes and their Applications | 2008-09-29 | Paper |
Stochastic control problems for systems driven by normal martingales
The Annals of Applied Probability | 2008-04-23 | Paper |
Pathwise Stochastic Control Problems and Stochastic HJB Equations
SIAM Journal on Control and Optimization | 2007-11-16 | Paper |
Principle of equivalent utility and universal variable life insurance pricing
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
Representations and regularities for solutions to BSDEs with reflections
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
Stochastic Processes and their Applications | 2004-11-26 | Paper |
Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
Stochastic Processes and their Applications | 2004-11-26 | Paper |
| scientific article; zbMATH DE number 2096689 (Why is no real title available?) | 2004-09-06 | Paper |
Ruin Probabilities for Insurance Models Involving Investments
Scandinavian Actuarial Journal | 2004-03-16 | Paper |
| scientific article; zbMATH DE number 1867092 (Why is no real title available?) | 2004-01-27 | Paper |
Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
The Annals of Probability | 2003-05-06 | Paper |
Numerical method for backward stochastic differential equations
The Annals of Applied Probability | 2003-05-06 | Paper |
Representation theorems for backward stochastic differential equations
The Annals of Applied Probability | 2003-05-06 | Paper |
Weak Solutions of Forward–Backward SDE's
Stochastic Analysis and Applications | 2003-04-28 | Paper |
Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
Mathematical Finance | 2003-01-01 | Paper |
On semi-linear degenerate backward stochastic partial differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-12-01 | Paper |
Approximate solvability of forward-backward stochastic differential equations
Applied Mathematics and Optimization | 2002-10-31 | Paper |
Reflected forward-backward SDEs and obstacle problems with boundary conditions
Journal of Applied Mathematics and Stochastic Analysis | 2002-10-09 | Paper |
Path regularity for solutions of backward stochastic differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-06-27 | Paper |
| Rough asymptotics of forward-backward stochastic differential equations | 2002-05-05 | Paper |
| scientific article; zbMATH DE number 1639860 (Why is no real title available?) | 2001-09-12 | Paper |
Dynamic programming for multidimensional stochastic control problems
Acta Mathematica Sinica, English Series | 2000-12-19 | Paper |
Forward-backward stochastic differential equations and their applications
Lecture Notes in Mathematics | 1999-08-12 | Paper |
On linear, degenerate backward stochastic partial differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1999-03-30 | Paper |
Adapted solution of a degenerate backward SPDE, with applications
Stochastic Processes and their Applications | 1999-01-14 | Paper |
Anticipating integrals for a class of martingales
Bernoulli | 1998-05-25 | Paper |
Numerical methods for forward-backward stochastic differential equations
The Annals of Applied Probability | 1997-04-24 | Paper |
Hedging options for a large investor and forward-backward SDE's
The Annals of Applied Probability | 1996-10-31 | Paper |
Solvability of forward-backward SDEs and the nodal set of Hamilton- Jacobi-Bellman equations
Chinese Annals of Mathematics. Series B | 1996-02-20 | Paper |
Black's consol rate conjecture
The Annals of Applied Probability | 1996-01-15 | Paper |
Singular stochastic control for diffusions and sde with discontinuous
Stochastics and Stochastic Reports | 1995-11-14 | Paper |
Solving forward-backward stochastic differential equations explicitly -- a four step scheme
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-08-15 | Paper |
discontinuous reflection, and a class of singular stochastic control problems for diffusions
Stochastics and Stochastic Reports | 1994-07-07 | Paper |
On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions
SIAM Journal on Control and Optimization | 1992-09-27 | Paper |
Set-Valued Stochastic Differential Equations with Unbounded Coefficients
(available as arXiv preprint) | N/A | Paper |
