| Publication | Date of Publication | Type |
|---|
Reweighted Nadaraya-Watson estimation of stochastic volatility jump-diffusion models
Computers & Mathematics with Applications | 2024-12-03 | Paper |
Novel multi-step predictor-corrector schemes for backward stochastic differential equations
Communications in Nonlinear Science and Numerical Simulation | 2024-09-12 | Paper |
Solvability of one kind of forward-backward stochastic difference equations
Communications in Statistics. Theory and Methods | 2024-07-26 | Paper |
BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
Transactions of the American Mathematical Society | 2024-07-04 | Paper |
Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations | 2024-06-26 | Paper |
Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems
Mathematics of Operations Research | 2024-02-27 | Paper |
Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems
Optimal Control Applications \& Methods | 2023-10-25 | Paper |
Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
Electronic Journal of Probability | 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
Journal of Computational Mathematics | 2023-03-09 | Paper |
A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
Methodology and Computing in Applied Probability | 2023-02-17 | Paper |
Solvability of forward-backward stochastic difference equations with finite states
Stochastics | 2022-10-18 | Paper |
Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
Journal of Computational and Applied Mathematics | 2022-10-06 | Paper |
A modified method of successive approximations for stochastic recursive optimal control problems
SIAM Journal on Control and Optimization | 2022-09-29 | Paper |
Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
Journal of Scientific Computing | 2022-09-28 | Paper |
Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
International Journal of Control | 2022-08-09 | Paper |
Optimal learning under robustness and time-consistency
Operations Research | 2022-08-05 | Paper |
The minimum mean square estimator of integrable variables under sublinear operators
Stochastics | 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
SIAM Journal on Control and Optimization | 2022-06-17 | Paper |
Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
ESAIM: Control, Optimisation and Calculus of Variations | 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
Statistics \& Probability Letters | 2022-01-24 | Paper |
Kalman-Bucy filtering and minimum mean square estimator under uncertainty
SIAM Journal on Control and Optimization | 2021-08-06 | Paper |
Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
ESAIM: Control, Optimisation and Calculus of Variations | 2021-03-17 | Paper |
Non-Markovian fully coupled forward-backward stochastic systems and classical solutions of path-dependent PDES
Stochastic Analysis and Applications | 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
Automatica | 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
Systems \& Control Letters | 2020-03-06 | Paper |
A stochastic maximum principle for linear quadratic problem with nonconvex control domain
Mathematical Control and Related Fields | 2019-12-18 | Paper |
The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equation
SIAM Journal on Control and Optimization | 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
Mathematical Control and Related Fields | 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
Advances in Difference Equations | 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
Journal of Mathematical Analysis and Applications | 2018-12-20 | Paper |
A global stochastic maximum principle for fully coupled forward-backward stochastic systems
SIAM Journal on Control and Optimization | 2018-11-30 | Paper |
Recursive utility maximization for terminal wealth under partial information
Mathematical Problems in Engineering | 2018-10-12 | Paper |
Reaching goals under ambiguity: continuous-time optimal portfolio selection
Statistics \& Probability Letters | 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
Journal of Mathematical Analysis and Applications | 2017-10-12 | Paper |
Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
Systems \& Control Letters | 2017-09-29 | Paper |
Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
Stochastic Processes and their Applications | 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
SIAM Journal on Control and Optimization | 2016-04-11 | Paper |
A note on functional derivatives on continuous paths
Statistics \& Probability Letters | 2015-12-22 | Paper |
Path-dependent Hamilton-Jacobi-Bellman equations related to controlled stochastic functional differential systems
Optimal Control Applications \& Methods | 2015-06-08 | Paper |
Solutions for functional fully coupled forward-backward stochastic differential equations
Statistics \& Probability Letters | 2015-05-18 | Paper |
A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
Journal of Mathematical Analysis and Applications | 2015-02-26 | Paper |
A stochastic recursive optimal control problem under the G-expectation framework
Applied Mathematics and Optimization | 2015-01-14 | Paper |
The dynamic programming method of stochastic differential game for functional forward-backward stochastic system
Mathematical Problems in Engineering | 2014-11-24 | Paper |
Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems
Mathematical Problems in Engineering | 2014-10-13 | Paper |
A generalized Girsanov transformation of finite state stochastic processes in discrete time
Statistics \& Probability Letters | 2014-04-09 | Paper |
Ambiguous volatility, possibility and utility in continuous time
Journal of Mathematical Economics | 2014-03-24 | Paper |
Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
Stochastic Processes and their Applications | 2014-02-07 | Paper |
Backward stochastic differential equations driven by \(G\)-Brownian motion
Stochastic Processes and their Applications | 2014-02-06 | Paper |
An optimal insurance design problem under Knightian uncertainty
Decisions in Economics and Finance | 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
Abstract and Applied Analysis | 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
Journal of Mathematical Analysis and Applications | 2010-03-10 | Paper |
On the solvability of forward-backward stochastic differential equations with absorption coefficients
| 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
Stochastic Processes and their Applications | 2008-06-10 | Paper |
The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
Acta Mathematica Sinica, English Series | 2008-04-15 | Paper |
On the solvability of infinite horizon forward-backward stochastic differential equations with absorption coefficients
Statistics \& Probability Letters | 2007-02-14 | Paper |
A kind of stochastic optimization problem solved by the BSDE method
Journal of Shandong University. Natural Science Edition | 2004-03-04 | Paper |
A no-arbitrage pricing problem for arithmetic Asian options
Journal of Shandong University. Natural Science Edition | 2001-07-25 | Paper |
scientific article; zbMATH DE number 1918615 (Why is no real title available?)
| 2001-01-01 | Paper |
