| Publication | Date of Publication | Type |
|---|
An infinite horizon sufficient stochastic maximum principle for regime-switching diffusions and applications
Journal of Optimization Theory and Applications | 2026-05-28 | Paper |
Two person non-zero-sum linear-quadratic differential game with Markovian jumps in infinite horizon
Automatica | 2026-04-02 | Paper |
Stochastic linear-quadratic differential game with regime-switching in an infinite horizon
SIAM Journal on Control and Optimization | 2026-01-14 | Paper |
Robust optimal stopping with regime switching
Automatica | 2026-01-02 | Paper |
On optimal proportional reinsurance and investment in a partial Markovian regime-switching economy
Communications on Stochastic Analysis | 2025-09-25 | Paper |
Infinite horizon linear-quadratic leader-follower stochastic differential games for regime switching diffusions
Applied Mathematics and Optimization | 2025-09-09 | Paper |
Stochastic linear quadratic optimal control problems with regime-switching jumps in infinite horizon
SIAM Journal on Control and Optimization | 2025-03-27 | Paper |
Optimal claim-dependent proportional reinsurance under a self-exciting claim model
Journal of Optimization Theory and Applications | 2024-08-02 | Paper |
Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps
Applied Mathematics and Optimization | 2024-01-19 | Paper |
Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
SIAM Journal on Control and Optimization | 2023-05-04 | Paper |
A BSDE approach for bond pricing under interest rate models with self-exciting jumps
Communications in Statistics: Theory and Methods | 2022-05-23 | Paper |
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
ESAIM: Control, Optimisation and Calculus of Variations | 2021-09-23 | Paper |
Optimal reinsurance-investment and dividends problem with fixed transaction costs
Journal of Industrial and Management Optimization | 2021-06-09 | Paper |
Optimal investment problem with delay under partial information
Mathematical Control and Related Fields | 2020-08-28 | Paper |
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Scandinavian Actuarial Journal | 2020-04-07 | Paper |
Optimal investment-reinsurance policy with stochastic interest and inflation rates
Mathematical Problems in Engineering | 2020-02-20 | Paper |
Robust optimal investment and reinsurance of an insurer under jump-diffusion models
Mathematical Control and Related Fields | 2019-10-15 | Paper |
Bond and option pricing for interest rate model with clustering effects
Quantitative Finance | 2018-11-14 | Paper |
Mean-variance portfolio selection under a constant elasticity of variance model
Operations Research Letters | 2018-09-28 | Paper |
A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
SIAM Journal on Control and Optimization | 2018-07-18 | Paper |
Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
Journal of Optimization Theory and Applications | 2018-04-13 | Paper |
A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance
Optimal Control Applications & Methods | 2018-01-05 | Paper |
| Robust portfolio optimization under stochastic interest rate and stochastic volatility framework | 2017-07-14 | Paper |
On optimal proportional reinsurance and investment in a hidden Markov financial market
Acta Mathematicae Applicatae Sinica. English Series | 2017-04-21 | Paper |
| Optimal portfolio problems for an insurance company under default risk and model uncertainty | 2017-01-06 | Paper |
Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
Journal of Mathematical Analysis and Applications | 2016-10-31 | Paper |
Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
Insurance Mathematics & Economics | 2016-05-12 | Paper |
A Bayesian approach for optimal reinsurance and investment in a diffusion model
Journal of Engineering Mathematics | 2013-12-04 | Paper |
On optimal proportional reinsurance and investment in a Markovian regime-switching economy
Acta Mathematica Sinica, English Series | 2013-03-14 | Paper |
Optimization of risk policy and dividends with fixed transaction costs under interest rate
Frontiers of Mathematics in China | 2012-11-07 | Paper |
Some results on a bivariate compound Poisson risk model
Chinese Journal of Applied Probability and Statistics | 2012-10-05 | Paper |
Markovian regime-switching market completion using additional Markov jump assets
IMA Journal of Management Mathematics | 2012-09-13 | Paper |
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
SIAM Journal on Control and Optimization | 2012-08-10 | Paper |
Optimal investment and reinsurance of an insurer with model uncertainty
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Ruin probabilities for a risk model with two classes of claims
Acta Mathematica Sinica, English Series | 2010-11-17 | Paper |
Portfolio selection in the enlarged Markovian regime-switching market
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
Optimal risk control for the excess of loss reinsurance policies
ASTIN Bulletin | 2010-06-21 | Paper |
Total duration of negative surplus for the dual model
Applied Stochastic Models in Business and Industry | 2010-04-22 | Paper |
On a risk model with dependence between claim sizes and claim intervals
Statistics & Probability Letters | 2008-09-29 | Paper |
On the ruin problem in a Markov-modulated risk model
Methodology and Computing in Applied Probability | 2008-06-25 | Paper |
Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
Applied Stochastic Models in Business and Industry | 2007-12-16 | Paper |
Stochastic linear quadratic optimal control problems with regime-switching jumps in infinite horizon
(available as arXiv preprint) | N/A | Paper |
