| Publication | Date of Publication | Type |
|---|
Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion
SIAM Journal on Control and Optimization | 2024-09-20 | Paper |
Fully coupled forward-backward stochastic differential equations driven by sub-diffusions
Journal of Differential Equations | 2024-08-26 | Paper |
Stochastic Maximum Principle for Subdiffusions and Its Applications
SIAM Journal on Control and Optimization | 2024-03-26 | Paper |
| Fully coupled forward-backward stochastic differential equations driven by sub-diffusions | 2023-11-25 | Paper |
Fokker-Planck equation for Feynman-Kac transform of anomalous processes
Stochastic Processes and their Applications | 2022-04-01 | Paper |
Optimal dividend payment and capital injection of the compound Poisson risk model with both proportional and fixed costs
SCIENTIA SINICA Mathematica | 2021-12-17 | Paper |
A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
Systems & Control Letters | 2021-12-14 | Paper |
Optimal reinsurance-investment and dividends problem with fixed transaction costs
Journal of Industrial and Management Optimization | 2021-06-09 | Paper |
On path-independent Girsanov transform
Applied Mathematics and Computation | 2021-04-20 | Paper |
A stochastic maximum principle for partially observed stochastic control systems with delay
Systems & Control Letters | 2021-01-06 | Paper |
Mean-variance portfolio selection for partially observed point processes
SIAM Journal on Control and Optimization | 2020-11-25 | Paper |
Optimal investment problem with delay under partial information
Mathematical Control and Related Fields | 2020-08-28 | Paper |
A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
Mathematical Control and Related Fields | 2019-10-18 | Paper |
A numerical method for forward-backward stochastic equations with delay and anticipated term
Statistics & Probability Letters | 2019-09-05 | Paper |
Optimal dividend policies for piecewise-deterministic compound Poisson risk models
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
| Partially observable stochastic optimal control | 2016-08-15 | Paper |
Ruin probability in the continuous-time compound binomial model with investment
Acta Mathematica Scientia. Series B. (English Edition) | 2016-01-15 | Paper |
| Partial Information Differential Games for Mean-Field SDEs | 2016-01-08 | Paper |
The Gerber-Shiu discounted penalty function in the classical risk model with impulsive dividend policy
Statistics & Probability Letters | 2015-12-23 | Paper |
Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang
Frontiers of Mathematics in China | 2015-11-06 | Paper |
Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information
Frontiers of Mathematics in China | 2015-02-27 | Paper |
| Optimal dividend payments of a two-dimensional compound Poisson risk model with capital injection | 2013-06-20 | Paper |
Impulse stochastic control for the optimization of the dividend payments of the compound Poisson risk model perturbed by diffusion
Stochastic Analysis and Applications | 2012-08-27 | Paper |
