| Publication | Date of Publication | Type |
|---|
Optimal consumption-investment with constraints in a regime switching market with random coefficients
Applied Mathematics and Optimization | 2025-01-06 | Paper |
Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
SIAM Journal on Control and Optimization | 2024-09-20 | Paper |
Backward doubly stochastic differential equations and SPDEs with quadratic growth
Stochastic Processes and their Applications | 2024-09-02 | Paper |
Scalar BSDEs of iterated-logarithmically sub-linear generators with integrable terminal values
Systems & Control Letters | 2024-07-24 | Paper |
Linear-quadratic two-person differential game: Nash game versus Stackelberg game, local information versus global information
European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations | 2024-06-26 | Paper |
General mean reflected backward stochastic differential equations
Journal of Theoretical Probability | 2024-04-02 | Paper |
| Comparison theorems for multi-dimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control | 2023-11-11 | Paper |
Consistent investment of sophisticated rank‐dependent utility agents in continuous time
Mathematical Finance | 2023-09-28 | Paper |
Stochastic linear-quadratic control with a jump and regime switching on a random horizon
Mathematical Control and Related Fields | 2023-09-19 | Paper |
| A user's guide to 1D nonlinear backward stochastic differential equations with applications and open problems | 2023-09-12 | Paper |
Constrained Monotone Mean-Variance Problem with Random Coefficients
SIAM Journal on Financial Mathematics | 2023-08-15 | Paper |
A unified approach to linear-quadratic-Gaussian mean-field team: homogeneity, heterogeneity and quasi-exchangeability
The Annals of Applied Probability | 2023-07-31 | Paper |
Mean-field type quadratic BSDEs
Numerical Algebra, Control and Optimization | 2023-07-26 | Paper |
| Scalar BSDEs of iterated-logarithmically sublinear generators with integrable terminal values | 2023-07-20 | Paper |
\( L^1\) solution to scalar BSDEs with logarithmic sub-linear growth generators
Systems & Control Letters | 2023-07-13 | Paper |
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
Journal of Differential Equations | 2023-06-23 | Paper |
Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs
Stochastic Processes and their Applications | 2023-02-23 | Paper |
Quadratic mean-field reflected BSDEs
Probability, Uncertainty and Quantitative Risk | 2022-11-16 | Paper |
Optimal control of SDEs with expected path constraints and related constrained FBSDEs
Probability, Uncertainty and Quantitative Risk | 2022-11-16 | Paper |
| Backward stochastic differential equations with conditional reflection and related recursive optimal control problems | 2022-11-14 | Paper |
| General Mean Reflected BSDEs | 2022-11-02 | Paper |
Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
Stochastic Processes and their Applications | 2022-10-07 | Paper |
Backward Stackelberg differential game with constraints: a mixed terminal-perturbation and linear-quadratic approach
SIAM Journal on Control and Optimization | 2022-06-01 | Paper |
| Backward doubly stochastic differential equations and SPDEs with quadratic growth | 2022-05-11 | Paper |
Constrained stochastic LQ control with regime switching and application to portfolio selection
The Annals of Applied Probability | 2022-03-21 | Paper |
Stochastic LQ control and associated Riccati equation of PDEs driven by state- and control-dependent white noise
SIAM Journal on Control and Optimization | 2022-03-01 | Paper |
Constrained stochastic LQ control on infinite time horizon with regime switching
ESAIM: Control, Optimisation and Calculus of Variations | 2022-01-31 | Paper |
Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs
(available as arXiv preprint) | 2021-07-27 | Paper |
| A unified approach to mean-field team: homogeneity, heterogeneity and quasi-exchangeability | 2021-05-16 | Paper |
Forward and backward stochastic differential equations with normal constraints in law
Stochastic Processes and their Applications | 2021-02-18 | Paper |
Anticipated backward stochastic differential equations with quadratic growth
Journal of Differential Equations | 2020-11-03 | Paper |
Systems of ergodic BSDEs arising in regime switching forward performance processes
SIAM Journal on Control and Optimization | 2020-10-30 | Paper |
On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2020-08-03 | Paper |
Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
| Existence, uniqueness, comparison theorem and stability theorem for unbounded solutions of scalar BSDEs with sub-quadratic generators | 2019-09-22 | Paper |
Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Existence and uniqueness of solution to scalar BSDEs with \(L\exp (\mu \sqrt{2\log (1+L)} )\)-integrable terminal values: the critical case
Electronic Communications in Probability | 2019-09-19 | Paper |
Quadratic BSDEs with mean reflection
Mathematical Control and Related Fields | 2019-07-03 | Paper |
Nonlinear backward stochastic evolutionary equations driven by a space-time white noise
Mathematical Control and Related Fields | 2019-07-03 | Paper |
Stochastic partial differential equations driven by space-time fractional noises
Stochastics and Dynamics | 2019-06-25 | Paper |
| Existence and uniqueness of solution to scalar BSDEs with $L\exp\left(\mu\sqrt{2\log(1+L)}\right)$-integrable terminal values: the critical case | 2019-04-04 | Paper |
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Finance and Stochastics | 2019-01-18 | Paper |
Linear quadratic mean field game with control input constraint
ESAIM: Control, Optimisation and Calculus of Variations | 2018-11-07 | Paper |
Stochastic maximum principle for optimal control of partial differential equations driven by white noise
Stochastic and Partial Differential Equations. Analysis and Computations | 2018-11-07 | Paper |
Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
Stochastic Processes and their Applications | 2018-10-31 | Paper |
Uniqueness of solution to scalar BSDEs with \(L\exp(\mu \sqrt{2\log(1+L)})\)-integrable terminal values
Electronic Communications in Probability | 2018-10-24 | Paper |
Uniqueness of solution to scalar BSDEs with \(L\exp(\mu \sqrt{2\log(1+L)})\)-integrable terminal values
Electronic Communications in Probability | 2018-10-24 | Paper |
Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
SIAM Journal on Control and Optimization | 2018-08-07 | Paper |
BSDEs with mean reflection
The Annals of Applied Probability | 2018-05-25 | Paper |
Existence of solution to scalar BSDEs with \(L\exp\left(\sqrt {\frac{2}{\lambda}\log(1+L)}\right)\)-integrable terminal values
Electronic Communications in Probability | 2018-05-11 | Paper |
Gradient estimates for porous medium and fast diffusion equations by martingale method
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
Gradient estimates for porous medium and fast diffusion equations by martingale method
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
| BSDE formulation of combined regular and singular stochastic control problems | 2018-01-10 | Paper |
| Exponential utility maximization and indifference valuation with unbounded payoffs | 2017-07-01 | Paper |
Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
| Existence of solution to scalar BSDEs with weakly $L^{1+}$-integrable terminal values | 2017-04-18 | Paper |
| Equilibrium for Time-Inconsistent Stochastic Linear--Quadratic Control under Constraint | 2017-03-28 | Paper |
A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions
Applied Mathematics and Optimization | 2017-03-28 | Paper |
A probabilistic approach to large time behavior of mild solutions of HJB equations in infinite dimension
SIAM Journal on Control and Optimization | 2016-05-31 | Paper |
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
Discrete and Continuous Dynamical Systems | 2016-03-09 | Paper |
Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
Discrete and Continuous Dynamical Systems | 2016-03-09 | Paper |
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
Stochastic Processes and their Applications | 2016-03-03 | Paper |
Wong-Zakai approximations of backward doubly stochastic differential equations
Stochastic Processes and their Applications | 2015-10-12 | Paper |
BMO martingales and positive solutions of heat equations
Mathematical Control and Related Fields | 2015-07-30 | Paper |
Forward-backward systems for expected utility maximization
Stochastic Processes and their Applications | 2014-08-27 | Paper |
| A probabilistic approach to large time behaviour of mild solutions of Hamilton-Jacobi-Bellman equations in infinite dimension | 2014-06-23 | Paper |
Stochastic maximum principle for optimal control of SPDEs
Applied Mathematics and Optimization | 2014-03-24 | Paper |
Ergodic BSDEs driven by Markov chains
SIAM Journal on Control and Optimization | 2014-01-27 | Paper |
Stochastic maximum principle for optimal control of SPDEs
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2012-10-16 | Paper |
Time-inconsistent stochastic linear-quadratic control
SIAM Journal on Control and Optimization | 2012-09-12 | Paper |
Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations
Journal of Evolution Equations | 2012-06-02 | Paper |
Stochastic representation for solutions of Isaacs' type integral-partial differential equations
Stochastic Processes and their Applications | 2011-11-10 | Paper |
Optimal consumption and investment in incomplete markets with general constraints
Stochastics and Dynamics | 2011-10-11 | Paper |
Backward SDEs with superquadratic growth
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2011-09-27 | Paper |
Some new BSDE results for an infinite-horizon stochastic control problem
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Ergodic BSDEs under weak dissipative assumptions
Stochastic Processes and their Applications | 2011-07-08 | Paper |
Existence and non-uniqueness of solutions for BSDE
Contemporary Quantitative Finance | 2011-05-31 | Paper |
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2011-05-19 | Paper |
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2011-05-19 | Paper |
| Stochastic control and BSDEs with quadratic growth | 2010-07-09 | Paper |
Ergodic BSDEs and optimal ergodic control in Banach spaces
SIAM Journal on Control and Optimization | 2010-06-10 | Paper |
| Integral-Partial Differential Equations of Isaacs' Type Related to Stochastic Differential Games with Jumps | 2010-04-15 | Paper |
Multi-dimensional BSDE with oblique reflection and optimal switching
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2010-04-12 | Paper |
| Some Estimates for Martingale Representation under G-Expectation | 2010-04-07 | Paper |
Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations
Stochastic Processes and their Applications | 2008-09-29 | Paper |
Quadratic BSDEs with convex generators and unbounded terminal conditions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2008-06-17 | Paper |
BSDE on an infinite horizon and elliptic PDEs in infinite dimension
NoDEA. Nonlinear Differential Equations and Applications | 2008-03-05 | Paper |
Backward stochastic differential equations in infinite dimensions with continuous driver and applications
Applied Mathematics and Optimization | 2008-02-18 | Paper |
On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth
SIAM Journal on Control and Optimization | 2007-07-25 | Paper |
Infinite horizon BSDEs in infinite dimensions with continuous driver and applications
Journal of Evolution Equations | 2007-01-24 | Paper |
Simulation of conditioned diffusion and application to parameter estimation
Stochastic Processes and their Applications | 2006-12-07 | Paper |
BSDE with quadratic growth and unbounded terminal value
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2006-10-24 | Paper |
On the comparison theorem for multidimensional BSDEs
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2006-08-14 | Paper |
| Simulation of conditioned diffusions | 2006-02-21 | Paper |
On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
Archiv der Mathematik | 2006-01-10 | Paper |
\(L^p\) solutions of backward stochastic differential equations.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
SIAM Journal on Control and Optimization | 2005-09-15 | Paper |
Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Forward-backward stochastic differential equations with nonsmooth coefficients.
Stochastic Processes and their Applications | 2004-09-07 | Paper |
Indefinite Stochastic Riccati Equations
SIAM Journal on Control and Optimization | 2004-01-08 | Paper |
On the existence and uniqueness of solutions to stochastic equations in infinite dimension with integral-Lipschitz coefficients.
Journal of Mathematics of Kyoto University | 2003-12-15 | Paper |
| scientific article; zbMATH DE number 1867094 (Why is no real title available?) | 2003-05-25 | Paper |
On semi-linear degenerate backward stochastic partial differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-12-01 | Paper |
Filtration-consistent nonlinear expectations and related \(g\)-expectations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-12-01 | Paper |
A general converse comparison theorem for backward stochastic differential equations
Comptes Rendus de l'Académie des Sciences. Série I. Mathématique | 2002-10-07 | Paper |
Pricing of American contingent claims with jump stock price and constrained portfolios
Mathematics of Operations Research | 2001-11-26 | Paper |
On the solution of forward-backward SDEs with monotone and continuous coefficients
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2001-10-13 | Paper |
Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs
NoDEA. Nonlinear Differential Equations and Applications | 2001-01-15 | Paper |
A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
Electronic Communications in Probability | 2000-12-14 | Paper |
A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
Electronic Communications in Probability | 2000-12-14 | Paper |
On the existence of solution to one–dimensional forward–backward sdes
Stochastic Analysis and Applications | 2000-06-07 | Paper |
Potential kernels associated with a filtration and forward-backward SDEs
Potential Analysis | 2000-01-16 | Paper |
Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures
Nonlinear Analysis: Theory, Methods & Applications | 1999-11-14 | Paper |
Probabilistic approach to singular perturbations of semilinear and quasilinear parabolic PDEs
Nonlinear Analysis: Theory, Methods & Applications | 1999-10-03 | Paper |
Hedging contingent claims for a large investor in an incomplete market
Advances in Applied Probability | 1999-01-19 | Paper |
Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
Journal of Functional Analysis | 1998-12-15 | Paper |
A nonsmooth chain rule for malliavin's derivative operator
Stochastic Analysis and Applications | 1998-03-19 | Paper |
| scientific article; zbMATH DE number 1066323 (Why is no real title available?) | 1998-03-19 | Paper |
A stability theorem of backward stochastic differential equations and its application
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 1997-07-23 | Paper |
Maximum principle for optimal control of stochastic system of functional type
Stochastic Analysis and Applications | 1997-06-10 | Paper |
Solution of forward-backward stochastic differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-01-25 | Paper |
Probabilistic interpretation of a system of quasilinear elliptic partial differential equations under Neumann boundary conditions
Stochastic Processes and their Applications | 1994-01-19 | Paper |
A generalized Haussmann's formula
Stochastic Analysis and Applications | 1993-05-16 | Paper |
| scientific article; zbMATH DE number 94022 (Why is no real title available?) | 1993-01-16 | Paper |
| scientific article; zbMATH DE number 62572 (Why is no real title available?) | 1992-09-27 | Paper |
Maximum principle for semilinear stochastic evolution systems
Chinese Annals of Mathematics. Series B | 1992-09-27 | Paper |
Adapted solution of a backward semilinear stochastic evolution equation
Stochastic Analysis and Applications | 1992-06-27 | Paper |
\(N\)-person differential games governed by semilinear stochastic evolution systems
Applied Mathematics and Optimization | 1992-06-27 | Paper |
Maximum principle for semilinear stochastic evolution control systems
Stochastics and Stochastic Reports | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4193597 (Why is no real title available?) | 1990-01-01 | Paper |
Mean-field backward stochastic differential equations and nonlocal PDEs with quadratic growth
(available as arXiv preprint) | N/A | Paper |
Dual Representation of Unbounded Dynamic Concave Utilities
(available as arXiv preprint) | N/A | Paper |
