| Publication | Date of Publication | Type |
|---|
| Reweighted Nadaraya-Watson estimation of stochastic volatility jump-diffusion models | 2024-12-03 | Paper |
| Novel multi-step predictor-corrector schemes for backward stochastic differential equations | 2024-09-12 | Paper |
| Solvability of one kind of forward-backward stochastic difference equations | 2024-07-26 | Paper |
| BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs | 2024-07-04 | Paper |
| Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients | 2024-06-26 | Paper |
| Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems | 2024-02-27 | Paper |
| Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems | 2023-10-25 | Paper |
| Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation | 2023-09-01 | Paper |
| A BSDE approach to the asymmetric risk-sensitive optimization and its applications | 2023-05-16 | Paper |
| Two-Step Scheme for Backward Stochastic Differential Equations | 2023-03-09 | Paper |
| A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo | 2023-02-17 | Paper |
| Solvability of forward–backward stochastic difference equations with finite states | 2022-10-18 | Paper |
| Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo | 2022-10-06 | Paper |
| A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems | 2022-09-29 | Paper |
| Solving stochastic optimal control problem via stochastic maximum principle with deep learning method | 2022-09-28 | Paper |
| Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems | 2022-08-09 | Paper |
| Optimal Learning Under Robustness and Time-Consistency | 2022-08-05 | Paper |
| The minimum mean square estimator of integrable variables under sublinear operators | 2022-07-05 | Paper |
| Global Convergence of Successive Approximations for Non-convex Stochastic Optimal Control Problems | 2022-07-05 | Paper |
| Maximum principle for discrete-time stochastic optimal control problem under distribution uncertainty | 2022-06-26 | Paper |
| A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators | 2022-06-17 | Paper |
| Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation | 2022-06-08 | Paper |
| BSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs | 2022-05-18 | Paper |
| The least squares estimator of random variables under convex operators on \(L_{\mathcal{F}}^\infty (\mu)\) space | 2022-01-24 | Paper |
| Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty | 2021-08-06 | Paper |
| Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems | 2021-03-17 | Paper |
| Non-Markovian fully coupled forward–backward stochastic systems and classical solutions of path-dependent PDES | 2021-03-02 | Paper |
| Novel multi-step predictor-corrector schemes for backward stochastic differential equations | 2021-02-11 | Paper |
| A robust Kalman-Bucy filtering problem | 2020-11-03 | Paper |
| A Stochastic Maximum Principle for Forward-backward Stochastic Control Systems with Quadratic Generators and Sample-wise Constraints | 2020-10-29 | Paper |
| A filtering problem with uncertainty in observation | 2020-03-06 | Paper |
| A stochastic maximum principle for linear quadratic problem with nonconvex control domain | 2019-12-18 | Paper |
| The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton--Jacobi--Bellman Equation | 2019-11-27 | Paper |
| The Neyman-Pearson lemma for convex expectations | 2019-09-03 | Paper |
| Three algorithms for solving high-dimensional fully-coupled FBSDEs through deep learning | 2019-07-11 | Paper |
| Recursive utility optimization with concave coefficients | 2019-07-03 | Paper |
| Linear quadratic problems for fully coupled forward-backward stochastic control systems | 2019-02-26 | Paper |
| Fully coupled forward-backward stochastic differential equations on Markov chains | 2019-02-14 | Paper |
| Solvability of one kind of forward-backward stochastic difference equations | 2019-01-07 | Paper |
| A note on the global stochastic maximum principle for fully coupled forward-backward stochastic systems | 2018-12-22 | Paper |
| The stochastic maximum principle in singular optimal control with recursive utilities | 2018-12-20 | Paper |
| A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems | 2018-11-30 | Paper |
| Recursive utility maximization for terminal wealth under partial information | 2018-10-12 | Paper |
| Reaching goals under ambiguity: continuous-time optimal portfolio selection | 2018-06-14 | Paper |
| Stochastic Linear Quadratic Optimal Control with General Control Domain | 2017-10-30 | Paper |
| The least squares estimator of random variables under sublinear expectations | 2017-10-12 | Paper |
| Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations | 2017-09-29 | Paper |
| Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion | 2016-11-30 | Paper |
| A generalized Neyman-Pearson lemma for sublinear expectations | 2016-05-17 | Paper |
| Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity | 2016-04-11 | Paper |
| A note on functional derivatives on continuous paths | 2015-12-22 | Paper |
| Path‐dependent Hamilton–Jacobi–Bellman equations related to controlled stochastic functional differential systems | 2015-06-08 | Paper |
| Solutions for functional fully coupled forward-backward stochastic differential equations | 2015-05-18 | Paper |
| A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints | 2015-02-26 | Paper |
| A stochastic recursive optimal control problem under the G-expectation framework | 2015-01-14 | Paper |
| The dynamic programming method of stochastic differential game for functional forward-backward stochastic system | 2014-11-24 | Paper |
| Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems | 2014-10-13 | Paper |
| A generalized Girsanov transformation of finite state stochastic processes in discrete time | 2014-04-09 | Paper |
| Ambiguous volatility, possibility and utility in continuous time | 2014-03-24 | Paper |
| Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion | 2014-02-07 | Paper |
| Backward stochastic differential equations driven by \(G\)-Brownian motion | 2014-02-06 | Paper |
| An optimal insurance design problem under Knightian uncertainty | 2013-11-07 | Paper |
| A note on pricing of contingent claims under G-expectation | 2013-03-18 | Paper |
| A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints | 2013-02-04 | Paper |
| The Dupire derivatives and Fr\'echet derivatives on continuous pathes | 2013-01-23 | Paper |
| Ambiguous volatility and asset pricing in continuous time | 2013-01-19 | Paper |
| Stochastic differential game of functional forward-backward stochastic system and related path-dependent HJBI equation | 2012-09-27 | Paper |
| An optimal control problem for functional forward-backward stochastic systems and related Path-dependent HJB equations | 2012-04-29 | Paper |
| Sublinear Expectations and Martingales in discrete time | 2011-04-28 | Paper |
| Dual method for continuous-time Markowitz's problems with nonlinear wealth equations | 2010-03-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3538779 | 2008-11-24 | Paper |
| Reflected Backward Stochastic Differential Equations with Continuous Coefficient and L^2 Barriers | 2008-07-13 | Paper |
| Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection | 2008-06-10 | Paper |
| The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk | 2008-04-15 | Paper |
| On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients | 2007-02-14 | Paper |
| A kind of stochastic optimization problem solved by the BSDE method | 2004-03-04 | Paper |
| A no-arbitrage pricing problem for arithmetic Asian options | 2001-07-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4483581 | 2001-01-01 | Paper |
