| Publication | Date of Publication | Type |
|---|
Discrete-time approximate stochastic maximum principle
Science China. Mathematics | 2026-05-29 | Paper |
Well-posedness of fully coupled McKean-Vlasov FBSDE and application to Stackelberg games
European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations | 2025-09-17 | Paper |
Mean-field partial information non-zero sum stochastic differential games
Applied Mathematics and Optimization | 2025-04-11 | Paper |
Incomplete information mean-field games and related Riccati equations
Journal of Optimization Theory and Applications | 2024-12-27 | Paper |
Linear-quadratic delayed mean-field social optimization
Applied Mathematics and Optimization | 2024-01-04 | Paper |
A maximum principle for discrete-time stochastic optimal control problemE20 with delay
Systems & Control Letters | 2023-11-14 | Paper |
Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach
SIAM Journal on Control and Optimization | 2023-07-13 | Paper |
Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem
Systems & Control Letters | 2023-07-13 | Paper |
| Incomplete Information Linear-Quadratic Mean-Field Games and Related Riccati Equations | 2023-07-03 | Paper |
The stochastic maximum principle for relaxed control problem with regime-switching
Systems & Control Letters | 2022-12-02 | Paper |
Reflected and doubly reflected BSDEs driven by RCLL martingales
Stochastics and Dynamics | 2022-09-30 | Paper |
Maximum principle for discrete-time stochastic control problem of mean-field type
Automatica | 2022-08-23 | Paper |
Maximum principle for general partial information nonzero sum stochastic differential games and applications
Dynamic Games and Applications | 2022-06-30 | Paper |
Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
Probability, Uncertainty and Quantitative Risk | 2022-06-03 | Paper |
Extended mean-field control problem with partial observation
ESAIM: Control, Optimisation and Calculus of Variations | 2022-03-29 | Paper |
American options in nonlinear markets
Electronic Journal of Probability | 2021-07-21 | Paper |
| Existence, uniqueness and strict comparison theorems for backward stochastic differential equations driven by RCLL martingales | 2021-03-16 | Paper |
Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
SIAM Journal on Control and Optimization | 2018-08-07 | Paper |
Fair bilateral pricing under funding costs and exogenous collateralization
Mathematical Finance | 2018-05-25 | Paper |
Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
SIAM Journal on Control and Optimization | 2017-11-02 | Paper |
| The connection between DPP and MP for the fully coupled forward-backward stochastic control systems | 2017-01-06 | Paper |
BSDEs driven by multidimensional martingales and their applications to markets with funding costs
Theory of Probability & Its Applications | 2016-12-07 | Paper |
A BSDE approach to fair bilateral pricing under endogenous collateralization
Finance and Stochastics | 2016-10-27 | Paper |
Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem
SIAM Journal on Control and Optimization | 2016-03-23 | Paper |
| Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in Local Case | 2016-03-07 | Paper |
Fair bilateral prices in Bergman's model with exogenous collateralization
International Journal of Theoretical and Applied Finance | 2016-01-08 | Paper |
Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
Science China. Mathematics | 2015-07-31 | Paper |
A stochastic approach to a new type of parabolic variational inequalities
Stochastics | 2015-07-29 | Paper |
Fractional backward stochastic differential equations and fractional backward variational inequalities
Journal of Theoretical Probability | 2015-05-26 | Paper |
Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
Stochastic Processes and their Applications | 2014-08-28 | Paper |
Deterministic characterization of viability for stochastic differential equation driven by fractional Brownian motion
ESAIM: Control, Optimisation and Calculus of Variations | 2013-03-13 | Paper |
| Direct and inverse images for fractional stochastic tangent sets and applications | 2010-05-25 | Paper |
