| Publication | Date of Publication | Type |
|---|
Mean-field backward stochastic differential equations and nonlocal PDEs with quadratic growth
(available as arXiv preprint) | N/A | Paper |
Dual Representation of Unbounded Dynamic Concave Utilities
(available as arXiv preprint) | N/A | Paper |
Optimal control of stochastic homogeneous systems
SIAM Journal on Control and Optimization | 2026-07-14 | Paper |
Anticipated backward stochastic differential equations with quadratic growth: multidimensional results
Stochastic Processes and their Applications | 2026-05-20 | Paper |
1D nonlinear backward stochastic differential equations: a unified theory and applications
(available as arXiv preprint) | 2026-01-01 | Paper |
Solvability of BSDEs with possibly unbounded stochastic coefficients on a general weighted L^p space
(available as arXiv preprint) | 2026-01-01 | Paper |
Backward doubly stochastic differential equations with or without reflection under weak conditions
(available as arXiv preprint) | 2026-01-01 | Paper |
Sharp propagation of chaos for mean-field backward stochastic differential equations
(available as arXiv preprint) | 2026-01-01 | Paper |
A global stochastic maximum principle for forward-backward stochastic control systems with quadratic convex generator and unbounded terminal condition
(available as arXiv preprint) | 2026-01-01 | Paper |
Vector- and operator-valued backward stochastic equations with finite-variation drivers and a maximum principle for singular stochastic control in infinite dimensions
(available as arXiv preprint) | 2026-01-01 | Paper |
Multi-dimensional non-Markovian backward stochastic differential equations of interactively quadratic generators
Electronic Journal of Probability | 2025-11-24 | Paper |
Comparison theorems for multidimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control
SIAM Journal on Control and Optimization | 2025-10-10 | Paper |
White noise-driven stochastic partial differential equations with mean reflection
Journal of Theoretical Probability | 2025-08-29 | Paper |
Mean-field backward stochastic differential equations and nonlocal PDEs with quadratic growth
The Annals of Applied Probability | 2025-08-08 | Paper |
Well-posedness of scalar BSDEs with sub-quadratic generators and related PDEs
Stochastic Processes and their Applications | 2025-02-14 | Paper |
Optimal consumption-investment with constraints in a regime switching market with random coefficients
Applied Mathematics and Optimization | 2025-01-06 | Paper |
Multi-dimensional anticipated backward stochastic differential equations with quadratic growth
(available as arXiv preprint) | 2025-01-01 | Paper |
Relationship between maximum principle and dynamic programming principle for recursive optimal control problem of stochastic evolution equations
(available as arXiv preprint) | 2025-01-01 | Paper |
Optimal control of stochastic homogenous systems
(available as arXiv preprint) | 2025-01-01 | Paper |
Uniqueness of adapted solutions to scalar BSDEs with Peano-type generators
(available as arXiv preprint) | 2025-01-01 | Paper |
Mean-field backward stochastic Volterra integral equations: well-posedness and related particle system
(available as arXiv preprint) | 2025-01-01 | Paper |
Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
SIAM Journal on Control and Optimization | 2024-09-20 | Paper |
Backward doubly stochastic differential equations and SPDEs with quadratic growth
Stochastic Processes and their Applications | 2024-09-02 | Paper |
Scalar BSDEs of iterated-logarithmically sub-linear generators with integrable terminal values
Systems & Control Letters | 2024-07-24 | Paper |
Linear-quadratic two-person differential game: Nash game versus Stackelberg game, local information versus global information
European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations | 2024-06-26 | Paper |
General mean reflected backward stochastic differential equations
Journal of Theoretical Probability | 2024-04-02 | Paper |
Multi-dimensional non-Markovian backward stochastic differential equations of interactively quadratic generators
(available as arXiv preprint) | 2024-01-01 | Paper |
| Comparison theorems for multi-dimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control | 2023-11-11 | Paper |
Consistent investment of sophisticated rank‐dependent utility agents in continuous time
Mathematical Finance | 2023-09-28 | Paper |
Stochastic linear-quadratic control with a jump and regime switching on a random horizon
Mathematical Control and Related Fields | 2023-09-19 | Paper |
| A user's guide to 1D nonlinear backward stochastic differential equations with applications and open problems | 2023-09-12 | Paper |
Constrained Monotone Mean-Variance Problem with Random Coefficients
SIAM Journal on Financial Mathematics | 2023-08-15 | Paper |
A unified approach to linear-quadratic-Gaussian mean-field team: homogeneity, heterogeneity and quasi-exchangeability
The Annals of Applied Probability | 2023-07-31 | Paper |
Mean-field type quadratic BSDEs
Numerical Algebra, Control and Optimization | 2023-07-26 | Paper |
| Scalar BSDEs of iterated-logarithmically sublinear generators with integrable terminal values | 2023-07-20 | Paper |
L^1 solution to scalar BSDEs with logarithmic sub-linear growth generators
Systems & Control Letters | 2023-07-13 | Paper |
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
Journal of Differential Equations | 2023-06-23 | Paper |
Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs
Stochastic Processes and their Applications | 2023-02-23 | Paper |
Quadratic mean-field reflected BSDEs
Probability, Uncertainty and Quantitative Risk | 2022-11-16 | Paper |
Optimal control of SDEs with expected path constraints and related constrained FBSDEs
Probability, Uncertainty and Quantitative Risk | 2022-11-16 | Paper |
| Backward stochastic differential equations with conditional reflection and related recursive optimal control problems | 2022-11-14 | Paper |
| General Mean Reflected BSDEs | 2022-11-02 | Paper |
Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
Stochastic Processes and their Applications | 2022-10-07 | Paper |
Backward Stackelberg differential game with constraints: a mixed terminal-perturbation and linear-quadratic approach
SIAM Journal on Control and Optimization | 2022-06-01 | Paper |
| Backward doubly stochastic differential equations and SPDEs with quadratic growth | 2022-05-11 | Paper |
Constrained stochastic LQ control with regime switching and application to portfolio selection
The Annals of Applied Probability | 2022-03-21 | Paper |
Stochastic LQ control and associated Riccati equation of PDEs driven by state- and control-dependent white noise
SIAM Journal on Control and Optimization | 2022-03-01 | Paper |
Constrained stochastic LQ control on infinite time horizon with regime switching
ESAIM: Control, Optimisation and Calculus of Variations | 2022-01-31 | Paper |
General Mean Reflected BSDEs
(available as arXiv preprint) | 2022-01-01 | Paper |
Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs
(available as arXiv preprint) | 2021-07-27 | Paper |
| A unified approach to mean-field team: homogeneity, heterogeneity and quasi-exchangeability | 2021-05-16 | Paper |
Forward and backward stochastic differential equations with normal constraints in law
Stochastic Processes and their Applications | 2021-02-18 | Paper |
A unified approach to mean-field team: homogeneity, heterogeneity and quasi-exchangeability
(available as arXiv preprint) | 2021-01-01 | Paper |
Anticipated backward stochastic differential equations with quadratic growth
Journal of Differential Equations | 2020-11-03 | Paper |
Systems of ergodic BSDEs arising in regime switching forward performance processes
SIAM Journal on Control and Optimization | 2020-10-30 | Paper |
On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2020-08-03 | Paper |
Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
| Existence, uniqueness, comparison theorem and stability theorem for unbounded solutions of scalar BSDEs with sub-quadratic generators | 2019-09-22 | Paper |
Existence and uniqueness of solution to scalar BSDEs with \(L\exp (\mu \sqrt{2\log (1+L)} )\)-integrable terminal values: the critical case
Electronic Communications in Probability | 2019-09-19 | Paper |
Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Quadratic BSDEs with mean reflection
Mathematical Control and Related Fields | 2019-07-03 | Paper |
Nonlinear backward stochastic evolutionary equations driven by a space-time white noise
Mathematical Control and Related Fields | 2019-07-03 | Paper |
Stochastic partial differential equations driven by space-time fractional noises
Stochastics and Dynamics | 2019-06-25 | Paper |
| Existence and uniqueness of solution to scalar BSDEs with $L\exp\left(\mu\sqrt{2\log(1+L)}\right)$-integrable terminal values: the critical case | 2019-04-04 | Paper |
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Finance and Stochastics | 2019-01-18 | Paper |
Existence and uniqueness of solution to scalar BSDEs with $L\exp\left(\mu\sqrt{2\log(1+L)}\right)$-integrable terminal values: the critical case
(available as arXiv preprint) | 2019-01-01 | Paper |
Existence, uniqueness, comparison theorem and stability theorem for unbounded solutions of scalar BSDEs with sub-quadratic generators
(available as arXiv preprint) | 2019-01-01 | Paper |
Anticipated backward stochastic differential equations with quadratic growth
(available as arXiv preprint) | 2019-01-01 | Paper |
Stochastic maximum principle for optimal control of partial differential equations driven by white noise
Stochastic and Partial Differential Equations. Analysis and Computations | 2018-11-07 | Paper |
Linear quadratic mean field game with control input constraint
ESAIM: Control, Optimisation and Calculus of Variations | 2018-11-07 | Paper |
Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
Stochastic Processes and their Applications | 2018-10-31 | 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 |
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 |
Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
SIAM Journal on Control and Optimization | 2018-08-07 | Paper |
BSDEs with mean reflection
The Annals of Applied Probability | 2018-05-25 | Paper |
Existence of solution to scalar BSDEs with \(L\exp\left(\sqrt {\frac{2}{\lambda}\log(1+L)}\right)\)-integrable terminal values
Electronic Communications in Probability | 2018-05-11 | Paper |
Gradient estimates for porous medium and fast diffusion equations by martingale method
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
Gradient estimates for porous medium and fast diffusion equations by martingale method
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
| BSDE formulation of combined regular and singular stochastic control problems | 2018-01-10 | Paper |
BSDE formulation of combined regular and singular stochastic control problems
(available as arXiv preprint) | 2018-01-01 | Paper |
| Exponential utility maximization and indifference valuation with unbounded payoffs | 2017-07-01 | Paper |
Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
| Existence of solution to scalar BSDEs with weakly $L^{1+}$-integrable terminal values | 2017-04-18 | Paper |
A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions
Applied Mathematics and Optimization | 2017-03-28 | Paper |
| Equilibrium for Time-Inconsistent Stochastic Linear--Quadratic Control under Constraint | 2017-03-28 | Paper |
Equilibrium for Time-Inconsistent Stochastic Linear--Quadratic Control under Constraint
(available as arXiv preprint) | 2017-01-01 | Paper |
Existence of solution to scalar BSDEs with weakly $L^{1+}$-integrable terminal values
(available as arXiv preprint) | 2017-01-01 | Paper |
Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
(available as arXiv preprint) | 2017-01-01 | Paper |
A probabilistic approach to large time behavior of mild solutions of HJB equations in infinite dimension
SIAM Journal on Control and Optimization | 2016-05-31 | Paper |
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
Discrete and Continuous Dynamical Systems | 2016-03-09 | Paper |
Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
Discrete and Continuous Dynamical Systems | 2016-03-09 | Paper |
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
Stochastic Processes and their Applications | 2016-03-03 | Paper |
Linear Quadratic Mean Field Game with Control Input Constraint
(available as arXiv preprint) | 2016-01-01 | Paper |
Wong-Zakai approximations of backward doubly stochastic differential equations
Stochastic Processes and their Applications | 2015-10-12 | Paper |
BMO martingales and positive solutions of heat equations
Mathematical Control and Related Fields | 2015-07-30 | Paper |
Forward-backward systems for expected utility maximization
Stochastic Processes and their Applications | 2014-08-27 | Paper |
| A probabilistic approach to large time behaviour of mild solutions of Hamilton-Jacobi-Bellman equations in infinite dimension | 2014-06-23 | Paper |
Stochastic maximum principle for optimal control of SPDEs
Applied Mathematics and Optimization | 2014-03-24 | Paper |
Ergodic BSDEs driven by Markov chains
SIAM Journal on Control and Optimization | 2014-01-27 | Paper |
A probabilistic approach to large time behaviour of mild solutions of Hamilton-Jacobi-Bellman equations in infinite dimension
(available as arXiv preprint) | 2014-01-01 | Paper |
Stochastic maximum principle for optimal control of SPDEs
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2012-10-16 | Paper |
Time-inconsistent stochastic linear-quadratic control
SIAM Journal on Control and Optimization | 2012-09-12 | Paper |
