| Publication | Date of Publication | Type |
|---|
Doubly-stochastic interpretation for nonlocal semi-linear backward stochastic partial differential equations
Journal of Differential Equations | 2023-10-11 | Paper |
On the near-viability property of controlled mean-field flows
Numerical Algebra, Control and Optimization | 2023-07-26 | Paper |
Path-depending controlled mean-field coupled forward-backward SDEs. The associated stochastic maximum principle
| 2023-07-26 | Paper |
A general conditional McKean-Vlasov stochastic differential equation
The Annals of Applied Probability | 2023-06-05 | Paper |
Mean field stochastic control under sublinear expectation
| 2022-11-08 | Paper |
Mean-field BDSDEs and associated nonlocal semi-linear backward stochastic partial differential equations
| 2021-11-01 | Paper |
Partial derivative with respect to the measure and its application to general controlled mean-field systems
Stochastic Processes and their Applications | 2021-04-27 | Paper |
Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions
Probability, Uncertainty and Quantitative Risk | 2021-02-16 | Paper |
Representation of limit values for nonexpansive stochastic differential games
Journal of Differential Equations | 2021-01-19 | Paper |
Representation formulas for limit values of long run stochastic optimal controls
SIAM Journal on Control and Optimization | 2020-11-03 | Paper |
Derivative over Wasserstein spaces along curves of densities
| 2020-10-04 | Paper |
On the compensator of the default process in an information-based model
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Viability of an open set for stochastic control systems
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Uniqueness of solution to scalar BSDEs with \(L\exp(\mu \sqrt{2\log(1+L)})\)-integrable terminal values
Electronic Communications in Probability | 2018-10-24 | Paper |
A mean-field stochastic control problem with partial observations
The Annals of Applied Probability | 2018-01-04 | Paper |
Mean-field stochastic differential equations and associated PDEs
The Annals of Probability | 2017-10-24 | Paper |
Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
Differential games with asymmetric information and without Isaacs' condition
International Journal of Game Theory | 2017-04-27 | Paper |
A stochastic maximum principle for general mean-field systems
Applied Mathematics and Optimization | 2017-04-03 | Paper |
Brownian bridges on random intervals
Theory of Probability & Its Applications | 2017-03-09 | 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 |
Stochastic variational inequalities on non-convex domains
Journal of Differential Equations | 2015-09-30 | Paper |
On representation formulas for long run averaging optimal control problem
Journal of Differential Equations | 2015-09-22 | Paper |
Pathwise Taylor expansions for random fields on multiple dimensional paths
Stochastic Processes and their Applications | 2015-06-11 | Paper |
Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
Science China. Mathematics | 2014-12-03 | Paper |
Existence of asymptotic values for nonexpansive stochastic control systems
Applied Mathematics and Optimization | 2014-09-10 | Paper |
Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition
The Annals of Probability | 2014-08-22 | Paper |
Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor agents
SIAM Journal on Control and Optimization | 2014-07-30 | Paper |
Value function of differential games without Isaacs conditions. An approach with nonanticipative mixed strategies
International Journal of Game Theory | 2013-11-11 | Paper |
Stochastic differential games with reflection and related obstacle problems for Isaacs equations
Acta Mathematicae Applicatae Sinica. English Series | 2013-03-18 | Paper |
Regularity properties for general HJB equations: a backward stochastic differential equation method
SIAM Journal on Control and Optimization | 2012-09-12 | Paper |
Pathwise Taylor expansions for Itô random fields
Mathematical Control and Related Fields | 2012-06-18 | Paper |
Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations
Journal of Evolution Equations | 2012-06-02 | Paper |
Regularity properties for general HJB equations. A BSDE method
| 2012-02-07 | Paper |
A general stochastic maximum principle for SDEs of mean-field type
Applied Mathematics and Optimization | 2011-11-30 | Paper |
Stochastic representation for solutions of Isaacs' type integral-partial differential equations
Stochastic Processes and their Applications | 2011-11-10 | Paper |
Some recent aspects of differential game theory
Dynamic Games and Applications | 2011-06-22 | Paper |
Stochastic optimal control and linear programming approach
Applied Mathematics and Optimization | 2011-05-11 | Paper |
Inf-convolution of \(G\)-expectations
Science China. Mathematics | 2011-02-25 | Paper |
Lipschitz continuity and semiconcavity properties of the value function of a stochastic control problem
NoDEA. Nonlinear Differential Equations and Applications | 2010-12-03 | Paper |
Existence of an optimal control for stochastic control systems with nonlinear cost functional
Stochastics | 2010-08-19 | Paper |
Integral-Partial Differential Equations of Isaacs' Type Related to Stochastic Differential Games with Jumps
| 2010-04-15 | Paper |
Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
Bulletin des Sciences Mathématiques | 2010-03-12 | Paper |
Mean-field backward stochastic differential equations and related partial differential equations
Stochastic Processes and their Applications | 2009-10-13 | Paper |
Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
NoDEA. Nonlinear Differential Equations and Applications | 2009-09-02 | Paper |
Mean-field backward stochastic differential equations: A limit approach
The Annals of Probability | 2009-08-21 | Paper |
On limiting values of stochastic differential equations with small noise intensity tending to zero
Bulletin des Sciences Mathématiques | 2009-05-12 | Paper |
Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
SIAM Journal on Control and Optimization | 2009-03-10 | Paper |
Controlled Stochastic Differential Equations under Constraints in Infinite Dimensional Spaces
SIAM Journal on Control and Optimization | 2009-03-10 | Paper |
On the Continuity of Weak Solutions of Backward Stochastic Differential Equations
Theory of Probability & Its Applications | 2008-08-21 | Paper |
Stochastic control problems for systems driven by normal martingales
The Annals of Applied Probability | 2008-04-23 | Paper |
Pathwise Stochastic Control Problems and Stochastic HJB Equations
SIAM Journal on Control and Optimization | 2007-11-16 | Paper |
Limit theorem for controlled backward SDEs and homogenization of Hamilton-Jacobi-Bellman equations
Applied Mathematics and Optimization | 2006-11-01 | Paper |
A stochastic Tikhonov theorem in infinite dimensions
Applied Mathematics and Optimization | 2006-09-12 | Paper |
A Backward Stochastic Differential Equation without Strong Solution
Theory of Probability & Its Applications | 2006-06-09 | Paper |
A characterization of approximately controllable linear stochastic differential equations
| 2006-03-16 | Paper |
On Weak Solutions of Backward Stochastic Differential Equations
Theory of Probability & Its Applications | 2005-10-28 | Paper |
Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
SIAM Journal on Control and Optimization | 2005-02-28 | Paper |
Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
Stochastic Processes and their Applications | 2004-11-26 | Paper |
Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
Stochastic Processes and their Applications | 2004-11-26 | Paper |
Stochastic control with exit time and constraints, application to small time attainability of sets
Applied Mathematics and Optimization | 2004-09-22 | Paper |
Existence of stochastic control under state constraints
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 2004-03-28 | Paper |
Viability of moving sets for stochastic differential equation.
Advances in Differential Equations | 2004-03-02 | Paper |
Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
The Annals of Probability | 2003-05-06 | Paper |
On the existence of stochastic optimal control of distributed state system
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2003-03-11 | Paper |
A representation formula for the mean curvature motion
SIAM Journal on Mathematical Analysis | 2002-04-08 | Paper |
Pricing of American contingent claims with jump stock price and constrained portfolios
Mathematics of Operations Research | 2001-11-26 | Paper |
Viability property for a backward stochastic differential equation and applications to partial differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2001-01-30 | Paper |
Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs
NoDEA. Nonlinear Differential Equations and Applications | 2001-01-15 | Paper |
Stationary backward stochastic differential equations and associated partial differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2000-11-19 | Paper |
scientific article; zbMATH DE number 1342038 (Why is no real title available?)
| 2000-06-07 | Paper |
Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures
Nonlinear Analysis: Theory, Methods & Applications | 1999-11-14 | Paper |
Hedging contingent claims for a large investor in an incomplete market
Advances in Applied Probability | 1999-01-19 | Paper |
Multidimensional linear stochastic differential equations in the skorohod sense
Stochastics and Stochastic Reports | 1998-06-22 | Paper |
Propriété de viabilité pour des équations différentielles stochastiques rétrogrades et applications à des équations aux dérivées partielles
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 1998-05-25 | Paper |
Backward stochastic differential equations and integral-partial differential equations
Stochastics and Stochastic Reports | 1997-12-14 | Paper |
Anticipative Girsanov transformations and Skorohod stochastic differential equations
Memoirs of the American Mathematical Society | 1996-11-07 | Paper |
scientific article; zbMATH DE number 797363 (Why is no real title available?)
| 1995-10-25 | Paper |
Linear stochastic differential equations and Wick products
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-11-21 | Paper |
Skorohod stochastic differential equations with boundary conditions
Stochastics and Stochastic Reports | 1994-08-29 | Paper |
A conditional approach to the anticipating Girsanov transformation
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-07-07 | Paper |
scientific article; zbMATH DE number 432954 (Why is no real title available?)
| 1994-06-20 | Paper |
Skorohod stochastic differential equations of diffusion type
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1993-03-10 | Paper |
scientific article; zbMATH DE number 57390 (Why is no real title available?)
| 1992-09-27 | Paper |
Linear Skorohod stochastic differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1992-06-26 | Paper |
Anticipative Girsanov transformations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1991-01-01 | Paper |
scientific article; zbMATH DE number 4186758 (Why is no real title available?)
| 1991-01-01 | Paper |
scientific article; zbMATH DE number 4190848 (Why is no real title available?)
| 1990-01-01 | Paper |
A Regularity Condition for Non-Markovian Solutions of Stochastic Differential Equations in the Plane
Mathematische Nachrichten | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4131371 (Why is no real title available?)
| 1989-01-01 | Paper |
scientific article; zbMATH DE number 4122989 (Why is no real title available?)
| 1989-01-01 | Paper |
scientific article; zbMATH DE number 4143186 (Why is no real title available?)
| 1989-01-01 | Paper |
Randomized Stopping Times: DOOB'S Optiomal Sampling Theorem and Optimal Stopping
Mathematische Nachrichten | 1984-01-01 | Paper |
A Global Stochastic Maximum Principle for Mean-Field Forward-Backward Stochastic Control Systems with Quadratic Generators
| N/A | Paper |
