| Publication | Date of Publication | Type |
|---|
Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information
Mathematical Finance | 2024-01-31 | Paper |
On the mean‐field limit for the consensus‐based optimization
Mathematical Methods in the Applied Sciences | 2023-12-12 | Paper |
A consensus-based algorithm for non-convex multiplayer games
| 2023-11-14 | Paper |
A Viscosity Solution Theory of Stochastic Hamilton-Jacobi-Bellman equations in the Wasserstein Space
| 2023-10-22 | Paper |
On the global convergence of particle swarm optimization methods
Applied Mathematics and Optimization | 2023-07-06 | Paper |
Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations
The Annals of Applied Probability | 2023-06-05 | Paper |
Swarming models with specular boundary condition and environmental noise
| 2023-04-04 | Paper |
Numerical approximations of coupled forward–backward SPDEs
Stochastic Analysis and Applications | 2023-03-09 | Paper |
Consensus-Based Optimization for Saddle Point Problems
| 2022-12-23 | Paper |
Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations
Stochastic Processes and their Applications | 2022-10-27 | Paper |
Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations
Acta Mathematica Scientia. Series B. (English Edition) | 2022-07-01 | Paper |
Zero-inertia limit: from particle swarm optimization to consensus-based optimization
SIAM Journal on Mathematical Analysis | 2022-06-13 | Paper |
Pricing options under rough volatility with backward SPDEs
SIAM Journal on Financial Mathematics | 2022-03-18 | Paper |
Mean-field particle swarm optimization
| 2021-08-01 | Paper |
The microscopic derivation and well-posedness of the stochastic Keller-Segel equation
Journal of Nonlinear Science | 2021-04-29 | Paper |
Numerical Approximations of Coupled Forward-Backward SPDEs
| 2020-12-14 | Paper |
Stochastic Path-Dependent Hamilton-Jacobi-Bellman Equations and Controlled Stochastic Differential Equations with Random Path-Dependent Coefficients
| 2020-06-22 | Paper |
\(L^2\)-theory of linear degenerate SPDEs and \(L^p ( p > 0)\) estimates for the uniform norm of weak solutions
Stochastic Processes and their Applications | 2020-02-24 | Paper |
Controlled reflected SDEs and Neumann problem for backward SPDEs
The Annals of Applied Probability | 2020-01-22 | Paper |
Optimal Liquidation in Target Zone Models and Neumann Problem of Backward SPDEs with Singular Terminal Condition
| 2019-11-05 | Paper |
Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations
SIAM Journal on Control and Optimization | 2018-10-18 | Paper |
A functional limit theorem for limit order books with state dependent price dynamics
The Annals of Applied Probability | 2018-01-04 | Paper |
Hörmander-type theorem for Itô processes and related backward SPDEs
Bernoulli | 2017-09-21 | Paper |
Maximum principle for quasi-linear reflected backward SPDEs
Journal of Mathematical Analysis and Applications | 2017-09-05 | Paper |
Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
Stochastic Processes and their Applications | 2017-06-22 | Paper |
A constrained control problem with degenerate coefficients and degenerate backward SPDEs with singular terminal condition
SIAM Journal on Control and Optimization | 2016-04-11 | Paper |
Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space
Stochastic Processes and their Applications | 2015-06-11 | Paper |
A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
SIAM Journal on Control and Optimization | 2015-06-02 | Paper |
On the quasi-linear reflected backward stochastic partial differential equations
Journal of Functional Analysis | 2014-10-13 | Paper |
On Backward Doubly Stochastic Differential Evolutionary System
| 2013-09-16 | Paper |
\(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space
Applied Mathematics and Optimization | 2012-07-10 | Paper |
Maximum principle for quasi-linear backward stochastic partial differential equations
Journal of Functional Analysis | 2012-03-22 | Paper |
2D backward stochastic Navier-Stokes equations with nonlinear forcing
Stochastic Processes and their Applications | 2012-01-04 | Paper |
Viscosity Solutions of a class of Second Order Hamilton-Jacobi-Bellman Equations in the Wasserstein Space
| N/A | Paper |
