| Publication | Date of Publication | Type |
|---|
Set values for mean field games
Transactions of the American Mathematical Society | 2025-01-08 | Paper |
Wellposedness of second order master equations for mean field games with nonsmooth data
Memoirs of the American Mathematical Society | 2024-11-20 | Paper |
From finite population optimal stopping to mean field optimal stopping
The Annals of Applied Probability | 2024-10-16 | Paper |
Dynamic Programming Equation for the Mean Field Optimal Stopping Problem
SIAM Journal on Control and Optimization | 2023-07-13 | Paper |
Viscosity Solutions for Obstacle Problems on Wasserstein Space
SIAM Journal on Control and Optimization | 2023-06-28 | Paper |
| From finite population optimal stopping to mean field optimal stopping | 2022-10-28 | Paper |
| Mean Field Game Master Equations with Anti-monotonicity Conditions | 2022-01-26 | Paper |
Zero-sum path-dependent stochastic differential games in weak formulation
The Annals of Applied Probability | 2021-03-18 | Paper |
Zero-sum path-dependent stochastic differential games in weak formulation
The Annals of Applied Probability | 2021-03-18 | Paper |
Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions
Probability, Uncertainty and Quantitative Risk | 2021-02-16 | Paper |
Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Comparison of viscosity solutions of semilinear path-dependent PDEs
SIAM Journal on Control and Optimization | 2020-01-22 | Paper |
| Wellposedness of Second Order Master Equations for Mean Field Games with Nonsmooth Data | 2019-03-23 | Paper |
An Overview of Viscosity Solutions of Path-Dependent PDEs
Springer Proceedings in Mathematics & Statistics | 2018-04-09 | Paper |
Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs
SIAM Journal on Mathematical Analysis | 2017-11-09 | Paper |
Backward stochastic differential equations. From linear to fully nonlinear theory
Probability Theory and Stochastic Modelling | 2017-06-30 | Paper |
| An Elementary Proof for the Structure of Wasserstein Derivatives | 2017-05-22 | 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 |
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
The Annals of Probability | 2016-09-30 | Paper |
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
The Annals of Probability | 2016-09-30 | Paper |
A theorem of Liouville type for \(p\)-harmonic maps in weighted Riemannian manifolds
Kodai Mathematical Journal | 2016-09-07 | Paper |
A complete representation theorem for \(G\)-martingales
Stochastics | 2016-06-10 | Paper |
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
The Annals of Probability | 2016-05-12 | Paper |
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
The Annals of Probability | 2016-05-12 | Paper |
Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients
Stochastic Processes and their Applications | 2016-02-15 | Paper |
Comparison of viscosity solutions of fully nonlinear degenerate parabolic Path-dependent PDEs
(available as arXiv preprint) | 2015-11-18 | Paper |
Optimal stopping under adverse nonlinear expectation and related games
The Annals of Applied Probability | 2015-10-20 | Paper |
Optimal stopping under adverse nonlinear expectation and related games
The Annals of Applied Probability | 2015-10-20 | Paper |
Dynamic equilibrium limit order book model and optimal execution problem
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 |
A monotone scheme for high-dimensional fully nonlinear PDEs
The Annals of Applied Probability | 2015-05-29 | Paper |
A monotone scheme for high-dimensional fully nonlinear PDEs
The Annals of Applied Probability | 2015-05-29 | Paper |
Two person zero-sum game in weak formulation and path dependent Bellman-Isaacs equation
SIAM Journal on Control and Optimization | 2014-11-21 | Paper |
Optimal stopping under nonlinear expectation
Stochastic Processes and their Applications | 2014-09-04 | Paper |
On viscosity solutions of path dependent PDEs
The Annals of Probability | 2014-03-06 | Paper |
On viscosity solutions of path dependent PDEs
The Annals of Probability | 2014-03-06 | Paper |
| Monotone Schemes for Fully Nonlinear Parabolic Path Dependent PDEs | 2014-02-17 | Paper |
Some norm estimates for semimartingales
Electronic Journal of Probability | 2014-01-17 | Paper |
Optimal portfolio selection under concave price impact
Applied Mathematics and Optimization | 2013-08-26 | Paper |
Dual formulation of second order target problems
The Annals of Applied Probability | 2013-04-24 | Paper |
Dual formulation of second order target problems
The Annals of Applied Probability | 2013-04-24 | Paper |
Wellposedness of second order backward SDEs
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-07-31 | Paper |
Wellposedness of second order backward SDEs
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-07-31 | Paper |
The law of large numbers for self-exciting correlated defaults
Stochastic Processes and their Applications | 2012-07-20 | Paper |
Quasi-sure stochastic analysis through aggregation
Electronic Journal of Probability | 2012-06-22 | Paper |
Contract theory in continuous-time models
Springer Finance | 2012-02-14 | Paper |
On weak solutions of forward-backward SDEs
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-02-13 | Paper |
Martingale representation theorem for the \(G\)-expectation
Stochastic Processes and their Applications | 2011-07-08 | Paper |
The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
Backward SDEs with constrained jumps and quasi-variational inequalities
The Annals of Probability | 2010-04-21 | Paper |
Switching problem and related system of reflected backward SDEs
Stochastic Processes and their Applications | 2010-04-08 | Paper |
Principal-Agent Problems with Exit Options
The B.E. Journal of Theoretical Economics | 2009-09-26 | Paper |
Optimal compensation with hidden action and lump-sum payment in a continuous-time model
Applied Mathematics and Optimization | 2009-07-24 | Paper |
Weak solutions for forward-backward SDEs-a martingale problem approach
The Annals of Probability | 2009-01-27 | Paper |
Optimal contracts in continuous-time models
Journal of Applied Mathematics and Stochastic Analysis | 2008-08-15 | Paper |
Time discretization and Markovian iteration for coupled FBSDEs
The Annals of Applied Probability | 2008-03-19 | Paper |
The wellposedness of FBSDEs
Discrete and Continuous Dynamical Systems. Series B | 2008-02-22 | Paper |
Optimal compensation with adverse selection and dynamic actions
Mathematics and Financial Economics | 2007-11-05 | Paper |
| The Starting and Stopping Problem under Knightian Uncertainty and Related Systems of Reflected BSDEs | 2007-10-03 | Paper |
Rate of convergence of finite difference approximations for degenerate ordinary differential equations
Mathematics of Computation | 2007-02-01 | Paper |
The steepest descent method for forward-backward SDEs
Electronic Journal of Probability | 2006-11-03 | Paper |
Representation of solutions to BSDEs associated with a degenerate FSDE
The Annals of Applied Probability | 2005-11-08 | Paper |
Representations and regularities for solutions to BSDEs with reflections
Stochastic Processes and their Applications | 2005-08-05 | Paper |
A numerical scheme for BSDEs
The Annals of Applied Probability | 2004-06-10 | Paper |
Representation theorems for backward stochastic differential equations
The Annals of Applied Probability | 2003-05-06 | Paper |
Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
Mathematical Finance | 2003-01-01 | Paper |
Path regularity for solutions of backward stochastic differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-06-27 | Paper |
| scientific article; zbMATH DE number 1639860 (Why is no real title available?) | 2001-09-12 | Paper |
Set Values for Mean Field Games
(available as arXiv preprint) | N/A | Paper |
A Dynamic Principal Agent Problem with One-sided Commitment
(available as arXiv preprint) | N/A | Paper |
Set Valued Hamilton-Jacobi-Bellman Equations
(available as arXiv preprint) | N/A | Paper |
Viscosity Solutions for HJB Equations on the Process Space: Application to Mean Field Control with Common Noise
(available as arXiv preprint) | N/A | Paper |
