| Publication | Date of Publication | Type |
|---|
Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
SIAM Journal on Control and Optimization | 2025-01-08 | Paper |
Optimal consumption-investment with constraints in a regime switching market with random coefficients
Applied Mathematics and Optimization | 2025-01-06 | Paper |
Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations | 2024-10-18 | Paper |
Optimal ratcheting of dividend payout under Brownian motion surplus
SIAM Journal on Control and Optimization | 2024-09-20 | Paper |
Optimal investment, heterogeneous consumption, and best time for retirement
Operations Research | 2024-07-25 | Paper |
Constrained monotone mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
Systems \& Control Letters | 2024-07-24 | Paper |
Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon
Mathematics of Operations Research | 2024-02-23 | Paper |
Relative Growth Rate Optimization Under Behavioral Criterion
SIAM Journal on Financial Mathematics | 2023-11-23 | Paper |
Comparison theorems for multi-dimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control
| 2023-11-11 | Paper |
Robust utility maximisation with intractable claims
Finance and Stochastics | 2023-10-12 | Paper |
Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method
IEEE Transactions on Automatic Control | 2023-09-21 | Paper |
Stochastic linear-quadratic control with a jump and regime switching on a random horizon
Mathematical Control and Related Fields | 2023-09-19 | Paper |
Constrained Monotone Mean-Variance Problem with Random Coefficients
SIAM Journal on Financial Mathematics | 2023-08-15 | Paper |
Policy Iteration Reinforcement Learning Method for Continuous-time Mean-Field Linear-Quadratic Optimal Problem
| 2023-04-30 | Paper |
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
Insurance Mathematics \& Economics | 2023-04-20 | Paper |
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
Scandinavian Actuarial Journal | 2023-04-18 | Paper |
Optimal moral-hazard-free reinsurance under extended distortion premium principles
| 2023-04-18 | Paper |
\(g\)-expectation of distributions
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 |
Distributionally robust goal-reaching optimization in the presence of background risk
North American Actuarial Journal | 2022-10-06 | Paper |
Short communication: minimal quantile functions subject to stochastic dominance constraints
SIAM Journal on Financial Mathematics | 2022-09-23 | Paper |
A free boundary problem arising from a multi-state regime-switching stock trading model
Journal of Differential Equations | 2022-09-15 | Paper |
A consumption-investment model with state-dependent lower bound constraint on consumption
Journal of Mathematical Analysis and Applications | 2022-08-24 | Paper |
State-Dependent Temperature Control for Langevin Diffusions
SIAM Journal on Control and Optimization | 2022-05-31 | Paper |
Constrained stochastic LQ control with regime switching and application to portfolio selection
The Annals of Applied Probability | 2022-03-21 | Paper |
Constrained stochastic LQ control on infinite time horizon with regime switching
ESAIM: Control, Optimisation and Calculus of Variations | 2022-01-31 | Paper |
Non-homogeneous stochastic LQ control with regime switching and random coefficients
| 2022-01-04 | Paper |
Optimal redeeming strategy of stock loans under drift uncertainty
Mathematics of Operations Research | 2020-04-30 | Paper |
Dividend optimization for jump-diffusion model with solvency constraints
Operations Research Letters | 2020-04-07 | Paper |
Dual utilities on risk aggregation under dependence uncertainty
Finance and Stochastics | 2019-09-19 | Paper |
Optimal insurance under rank-dependent utility and incentive compatibility
Mathematical Finance | 2019-05-23 | Paper |
Utility maximization under trading constraints with discontinuous utility
SIAM Journal on Financial Mathematics | 2019-05-14 | Paper |
Continuous-time Markowitz's model with constraints on wealth and portfolio
Operations Research Letters | 2019-01-15 | Paper |
Optimal insurance in the presence of reinsurance
Scandinavian Actuarial Journal | 2018-07-17 | Paper |
Optimal insurance design with a bonus
Insurance Mathematics \& Economics | 2017-11-23 | Paper |
A stochastic control problem and related free boundaries in finance
Mathematical Control and Related Fields | 2017-10-20 | Paper |
An optimal consumption-investment model with constraint on consumption
Mathematical Control and Related Fields | 2016-10-12 | Paper |
A note on the quantile formulation
Mathematical Finance | 2016-07-15 | Paper |
Investment under duality risk measure
European Journal of Operational Research | 2016-06-27 | Paper |
A robust Markowitz mean-variance portfolio selection model with an intractable claim
SIAM Journal on Financial Mathematics | 2016-03-31 | Paper |
Optimal Investment Stopping Problem with Nonsmooth Utility in Finite Horizon
| 2015-07-03 | Paper |
A note on the Monge-Kantorovich problem in the plane
Communications on Pure and Applied Analysis | 2015-04-14 | Paper |
Corrigendum to ``A new characterization of comonotonicity and its application in behavioral finance.
Journal of Mathematical Analysis and Applications | 2015-01-28 | Paper |
A new characterization of comonotonicity and its application in behavioral finance
Journal of Mathematical Analysis and Applications | 2015-01-26 | Paper |
Optimal stopping under probability distortion
The Annals of Applied Probability | 2013-04-24 | Paper |
Optimal redeeming strategy of stock loans with finite maturity
Mathematical Finance | 2011-11-21 | Paper |
Continuous-time Markowitz's model with transaction costs
SIAM Journal on Financial Mathematics | 2010-02-03 | Paper |
Thou shalt buy and hold
Quantitative Finance | 2009-02-23 | Paper |
Response to comment on ‘Thou shalt buy and hold’
Quantitative Finance | 2009-02-23 | Paper |
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
Mathematical Finance | 2008-05-22 | Paper |
