| Publication | Date of Publication | Type |
|---|
| Convergence rate of LQG mean field games with common noise | 2024-07-08 | Paper |
| Stochastic maximum principle for a time-changed mean field game | 2024-04-12 | Paper |
| From mean field games to Navier-Stokes equations | 2023-07-26 | Paper |
| Convergence Rate of LQG Mean Field Games with Common Noise | 2023-07-02 | Paper |
| Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables | 2023-04-12 | Paper |
| Solving a Class of Mean-Field LQG Problems | 2022-07-21 | Paper |
| Pricing double volatility barriers option under stochastic volatility | 2022-07-06 | Paper |
| The density evolution of the killed McKean–Vlasov process | 2022-07-05 | Paper |
| On the Graphon Mean Field Game equations: Individual agent affine dynamics and mean field dependent performance functions | 2022-06-08 | Paper |
| The convergence rate of the equilibrium measure for the hybrid LQG Mean Field Game | 2021-06-08 | Paper |
| Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution | 2021-02-03 | Paper |
| American option model and negative Fichera function on degenerate boundary | 2019-11-20 | Paper |
| Solving A Class of Mean-Field LQG Problems | 2019-10-11 | Paper |
| Exit Problems as the Generalized Solutions of Dirichlet Problems | 2019-08-30 | Paper |
| Approximating functionals of local martingales under lack of uniqueness of the Black–Scholes PDE solution | 2018-09-19 | Paper |
| Spectral methods for substantial fractional differential equations | 2018-04-13 | Paper |
| Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators | 2018-02-12 | Paper |
| Ergodicity and strong limit results for two-time-scale functional stochastic differential equations | 2018-01-25 | Paper |
| On the Equivalence and Condition of Different Consensus Over a Random Network Generated by i.i.d. Stochastic Matrices | 2017-08-25 | Paper |
| Numerical Solutions for Stochastic Differential Games With Regime Switching | 2017-08-08 | Paper |
| Characterization of stochastic control with optimal stopping in a Sobolev space | 2017-04-19 | Paper |
| Neutral Stochastic Differential Delay Equations with Locally Monotone Coefficients | 2017-04-11 | Paper |
| The stochastic solution to a Cauchy problem for degenerate parabolic equations | 2017-03-28 | Paper |
| Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk | 2017-01-11 | Paper |
| On singular control problems with state constraints and regime-switching: a viscosity solution approach | 2016-06-03 | Paper |
| Solvability of Dirichlet problem with Integro-differential Operator | 2016-02-19 | Paper |
| A Strong Limit Theorem for Two-Time-Scale Fucntional Stochastic Differential Equations | 2015-08-28 | Paper |
| An optimal pairs-trading rule | 2015-06-25 | Paper |
| Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk | 2015-05-30 | Paper |
| A NOTE ON EXPONENTIAL ALMOST SURE STABILITY OF STOCHASTIC DIFFERENTIAL EQUATION | 2014-02-28 | Paper |
| Mean Exit Times and the Multilevel Monte Carlo Method | 2014-02-25 | Paper |
| Weak convergence methods for approximation of the evaluation of path-dependent functionals | 2014-01-27 | Paper |
| Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing | 2013-11-06 | Paper |
| Optimal portfolio selection under concave price impact | 2013-08-26 | Paper |
| Saddle points of discrete Markov zero-sum game with stopping | 2013-07-31 | Paper |
| Outperforming the market portfolio with a given probability | 2012-09-19 | Paper |
| Optimal switching with constraints and utility maximization of an indivisible market | 2012-08-10 | Paper |
| On Optimal Harvesting Problems in Random Environments | 2011-07-22 | Paper |
| On the Continuity of Stochastic Exit Time Control Problems | 2011-03-08 | Paper |
| Convergence rates of Markov chain approximation methods for controlled diffusions with stopping | 2010-11-03 | Paper |
| Rates of Convergence of Numerical Methods for Controlled Regime-Switching Diffusions with Stopping Times in the Costs | 2010-06-10 | Paper |
| Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies | 2009-06-17 | Paper |
| Stability of random-switching systems of differential equations | 2009-06-11 | Paper |
| Stochastic optimization algorithms for barrier dividend strategies | 2008-11-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3443105 | 2007-05-29 | Paper |
| Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions | 2006-12-07 | Paper |
| An Epsilon-uniform Finite Element Method for Singularly Perturbed Boundary Value Problems | 2006-02-28 | Paper |
| Numerical solutions for jump-diffusions with regime switching | 2005-07-18 | Paper |
