| Publication | Date of Publication | Type |
|---|
A user guide of CART and random forests with applications in FinTech and InsurTech
Japanese Journal of Statistics and Data Science | 2025-01-22 | Paper |
Technical note -- Production management with general demands and lost sales
Operations Research | 2024-12-20 | Paper |
Control on Hilbert spaces and application to some mean field type control problems
The Annals of Applied Probability | 2024-10-09 | Paper |
Technical note -- The generalized Sethi advertising model
Operations Research | 2024-09-05 | Paper |
Control theory on Wasserstein space: a new approach to optimality conditions
Annals of Mathematical Sciences and Applications | 2024-02-06 | Paper |
On nonparametric estimation for cross-sectional sampled data under stationarity
Electronic Journal of Statistics | 2024-01-05 | Paper |
| Mean Field Analysis of Two-Party Governance: Competition versus Cooperation among Leaders | 2023-11-17 | Paper |
| Degenerate Mean Field Type Control with Linear and Unbounded Diffusion, and their Associated Equations | 2023-11-15 | Paper |
| Global Well-Posedness of First-Order Mean Field Games and Master Equations with Nonlinear Dynamics | 2023-11-14 | Paper |
| Linear Quadratic Extended Mean Field Games and Control Problems | 2023-11-09 | Paper |
Inter‐temporal mutual‐fund management
Mathematical Finance | 2023-09-28 | Paper |
| Maximum Principle for Mean Field Type Control Problems with General Volatility Functions | 2023-09-13 | Paper |
Dynamic trading with Markov liquidity switching
Automatica | 2023-07-31 | Paper |
| A Theory of First Order Mean Field Type Control Problems and their Equations | 2023-05-19 | Paper |
| Mean Field Type Control Problems, Some Hilbert-space-valued FBSDEs, and Related Equations | 2023-05-06 | Paper |
| Nonparametric Likelihood Ratio Test for Univariate Shape-constrained Densities | 2022-11-23 | Paper |
Control in Hilbert space and first-order mean field type problem
Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
Enlargement of filtration on Poisson space: a Malliavin calculus approach
Stochastics | 2022-07-05 | Paper |
Relative performance evaluation for dynamic contracts in a large competitive market
European Journal of Operational Research | 2022-06-08 | Paper |
A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
SIAM Journal on Control and Optimization | 2022-05-31 | Paper |
Dynamic mean-variance problem with frictions
Finance and Stochastics | 2022-04-01 | Paper |
Satisficing credibility for heterogeneous risks
European Journal of Operational Research | 2022-02-22 | Paper |
Mean field approach to stochastic control with partial information
ESAIM: Control, Optimisation and Calculus of Variations | 2021-09-23 | Paper |
On asymptotic equivalence of the NPMLE of a monotone density and a Grenander-type estimator in multi-sample biased sampling models
Electronic Journal of Statistics | 2021-08-09 | Paper |
A Fourier-cosine method for finite-time ruin probabilities
Insurance Mathematics & Economics | 2021-07-06 | Paper |
Fourier-cosine method for finite-time Gerber-Shiu functions
SIAM Journal on Scientific Computing | 2021-06-29 | Paper |
Systems of quasilinear parabolic equations in \(\mathbb{R}^n\) and systems of quadratic backward stochastic differential equations
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2021-04-08 | Paper |
Evolutionary credibility risk premium
Insurance Mathematics & Economics | 2020-08-03 | Paper |
| Control on Hilbert Spaces and Application to Some Mean Field Type Control Problems | 2020-05-21 | Paper |
Mean-field-type games with jump and regime switching
Dynamic Games and Applications | 2020-04-29 | Paper |
Control problem on space of random variables and master equation
ESAIM: Control, Optimisation and Calculus of Variations | 2020-04-29 | Paper |
Concave distortion risk minimizing reinsurance design under adverse selection
Insurance Mathematics & Economics | 2020-03-20 | Paper |
Mean Field Games With Parametrized Followers
IEEE Transactions on Automatic Control | 2020-01-28 | Paper |
Reinsurance contract design with adverse selection
Scandinavian Actuarial Journal | 2019-11-06 | Paper |
On additivity of tail comonotonic risks
Scandinavian Actuarial Journal | 2019-11-06 | Paper |
Feedback Stackelberg-Nash equilibria in mixed leadership games with an application to cooperative advertising
SIAM Journal on Control and Optimization | 2019-10-28 | Paper |
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Parabolic equations with quadratic growth in \(\mathbb{R}^{n}\)
Computational Methods in Applied Sciences | 2019-07-17 | Paper |
Globally efficient non-parametric inference of average treatment effects by empirical balancing calibration weighting
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-06-12 | Paper |
Risk-adjusted bowley reinsurance under distorted probabilities
Insurance Mathematics & Economics | 2019-05-23 | Paper |
| Stochastic Control on Space of Random Variables | 2019-03-29 | Paper |
A paradox in time-consistency in the mean-variance problem?
Finance and Stochastics | 2019-01-18 | Paper |
Estimation of a monotone density in \(s\)-sample biased sampling models
The Annals of Statistics | 2018-10-24 | Paper |
A probabilistic proof for Fourier inversion formula
Statistics & Probability Letters | 2018-07-27 | Paper |
A class of nonzero-sum investment and reinsurance games subject to systematic risks
Scandinavian Actuarial Journal | 2018-07-17 | Paper |
Optimal reinsurance under general law-invariant risk measures
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Valuing equity-linked death benefits in a regime-switching framework
ASTIN Bulletin | 2018-06-04 | Paper |
Probabilistic solutions for a class of deterministic optimal allocation problems
Journal of Computational and Applied Mathematics | 2018-02-14 | Paper |
Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
Stochastic Processes and their Applications | 2018-01-11 | Paper |
On the interpretation of the master equation
Stochastic Processes and their Applications | 2017-06-22 | Paper |
Optimal Liquidation of Child Limit Orders
Mathematics of Operations Research | 2017-06-02 | Paper |
| Critical points of random finite Blaschke products with independent and identically distributed zeros | 2016-10-13 | Paper |
Optimal asset allocation: risk and information uncertainty
European Journal of Operational Research | 2016-10-07 | Paper |
Mean field games with a dominating player
Applied Mathematics and Optimization | 2016-09-23 | Paper |
Nonlocal boundary value problems of a stochastic variational inequality modeling an elasto-plastic oscillator excited by a filtered noise
SIAM Journal on Mathematical Analysis | 2016-08-31 | Paper |
Linear-quadratic mean field games
Journal of Optimization Theory and Applications | 2016-05-27 | Paper |
Oracle, multiple robust and multipurpose calibration in a missing response problem
Statistical Science | 2016-03-04 | Paper |
Oracle, multiple robust and multipurpose calibration in a missing response problem
Statistical Science | 2016-03-04 | Paper |
The optimal insurance under disappointment theories
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Convex ordering for insurance preferences
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Well-posedness of mean-field type forward-backward stochastic differential equations
Stochastic Processes and their Applications | 2015-08-19 | Paper |
Mean field Stackelberg games: aggregation of delayed instructions
SIAM Journal on Control and Optimization | 2015-08-18 | Paper |
Mean-variance pre-commitment policies revisited via a mean-field technique
Recent Advances in Financial Engineering 2012 | 2015-06-19 | Paper |
Fourier-cosine method for Gerber-Shiu functions
Insurance Mathematics & Economics | 2015-05-26 | Paper |
The master equation in mean field theory
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2015-05-15 | Paper |
Higher-order, polar and Sz.-Nagy's generalized derivatives of random polynomials with independent and identically distributed zeros on the unit circle
Computational Methods and Function Theory | 2015-04-02 | Paper |
An analytical approach for the growth rate of the variance of the deformation related to an elasto-plastic oscillator excited by a white noise
Applied Mathematics Research eXpress | 2015-04-01 | Paper |
Fourier-cosine method for ruin probabilities
Journal of Computational and Applied Mathematics | 2015-02-11 | Paper |
Linear-quadratic time-inconsistent mean field games
Dynamic Games and Applications | 2015-02-03 | Paper |
Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
A class of non-zero-sum stochastic differential investment and reinsurance games
Automatica | 2014-10-24 | Paper |
Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Borch's theorem from the perspective of comonotonicity
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Approximate solutions of a stochastic variational inequality modeling an elasto-plastic problem with noise
Applied Mathematics Research eXpress | 2014-05-02 | Paper |
GAME CALL OPTIONS REVISITED
Mathematical Finance | 2014-04-23 | Paper |
Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
Insurance Mathematics & Economics | 2014-04-15 | Paper |
Average value-at-risk minimizing reinsurance under Wang's premium principle with constraints
ASTIN Bulletin | 2013-12-12 | Paper |
A unified ``bang-bang principle with respect to \({\mathcal R}\)-invariant performance benchmarks
Theory of Probability and its Applications | 2013-08-22 | Paper |
Optimal selling time in stock market over a finite time horizon
Acta Mathematicae Applicatae Sinica. English Series | 2012-12-06 | Paper |
Long cycle behavior of the plastic deformation of an elasto-perfectly-plastic oscillator with noise
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2012-11-22 | Paper |
| Conformal invariance of the exploration path in 2-d critical bond percolation in the square lattice | 2011-12-08 | Paper |
Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
Journal of Applied Probability | 2009-10-08 | Paper |
A Control Theoretical Approach to Mean Field Games and Associated Master Equations
(available as arXiv preprint) | N/A | Paper |
Optimal Savings and Value of Population in A Stochastic Environment: Transient Behavior
(available as arXiv preprint) | N/A | Paper |
