| Publication | Date of Publication | Type |
|---|
Equilibria for Time-inconsistent Singular Control Problems
(available as arXiv preprint) | N/A | Paper |
Monotone Mean-Variance Portfolio Selection in Semimartingale Markets: Martingale Method
(available as arXiv preprint) | N/A | Paper |
Dynamic portfolio selection for nonlinear law-dependent preferences
Mathematics of Operations Research | 2026-09-15 | Paper |
Equilibrium portfolio selection under beliefs-dependent utilities
Mathematics of Operations Research | 2026-09-15 | Paper |
Robust portfolio game under relative performance and state-dependent confidence sets
European Journal of Operational Research | 2026-09-07 | Paper |
Optimal VPPI strategy under omega ratio with stochastic benchmark
Annals of Operations Research | 2026-08-25 | Paper |
Optimal reinsurance under endogenous default and background risk
ASTIN Bulletin | 2026-04-30 | Paper |
Dynamic optimal adjustment policies of hybrid pension plans under habitual persistence
Mathematics and Financial Economics | 2026-03-24 | Paper |
Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
Scandinavian Actuarial Journal | 2026-02-27 | Paper |
Dynamic investment-driven insurance pricing and optimal regulation
Insurance Mathematics & Economics | 2025-11-25 | Paper |
Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
Mathematics and Financial Economics | 2025-10-17 | Paper |
Comparison between mean-variance and monotone mean-variance preferences under jump diffusion and stochastic factor model
Mathematics of Operations Research | 2025-09-30 | Paper |
Robust n-agent heterogeneous investment-consumption game under -maxmin mean-variance-utility criterion
Journal of Optimization Theory and Applications | 2025-09-29 | Paper |
The continuous-time pre-commitment KMM problem in incomplete markets
The Annals of Applied Probability | 2025-09-18 | Paper |
Retirement decision with addictive habit persistence in a jump diffusion market
SIAM Journal on Financial Mathematics | 2025-09-17 | Paper |
Comparison between mean-variance and monotone mean-variance preferences in general markets: a new perspective
Operations Research Letters | 2025-09-10 | Paper |
N-player and mean field games among fund managers considering excess logarithmic returns
Annals of Operations Research | 2025-07-14 | Paper |
Equilibrium portfolio selection for smooth ambiguity preferences
Mathematics of Operations Research | 2025-06-02 | Paper |
A framework of state-dependent utility optimisation with general benchmarks
Finance and Stochastics | 2025-03-28 | Paper |
Stackelberg reinsurance and premium decisions with MV criterion and irreversibility
SIAM Journal on Financial Mathematics | 2025-03-19 | Paper |
Optimal consumption and investment in pooled annuity funds with and without fund managers
Scandinavian Actuarial Journal | 2025-03-10 | Paper |
Short communication: an integral equation in portfolio selection with time-inconsistent preferences
SIAM Journal on Financial Mathematics | 2025-03-05 | Paper |
An asymptotic approach to centrally planned portfolio selection
Advances in Applied Probability | 2025-02-25 | Paper |
A two-layer stochastic game approach to reinsurance contracting and competition
Insurance Mathematics & Economics | 2025-01-17 | Paper |
Equilibria for time-inconsistent singular control problems
SIAM Journal on Control and Optimization | 2025-01-08 | Paper |
A mean field game approach to relative investment-consumption games with habit formation
Mathematics and Financial Economics | 2024-12-27 | Paper |
Time-inconsistent mean field and \(n\)-agent games under relative performance criteria
SIAM Journal on Financial Mathematics | 2024-12-04 | Paper |
Optimal management of DB pension fund under both underfunded and overfunded cases
Scandinavian Actuarial Journal | 2024-08-14 | Paper |
Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
North American Actuarial Journal | 2024-08-05 | Paper |
Optimal mix among PAYGO, EET and individual savings
Scandinavian Actuarial Journal | 2024-05-30 | Paper |
A Stackelberg reinsurance-investment game under <i>α</i> -maxmin mean-variance criterion and stochastic volatility
Scandinavian Actuarial Journal | 2024-02-26 | Paper |
Optimal annuitization and asset allocation under linear habit formation
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions
Mathematical Finance | 2024-01-31 | Paper |
Consumption-investment decisions with endogenous reference point and drawdown constraint
Mathematics and Financial Economics | 2023-07-10 | Paper |
| Equilibrium Portfolio Selection for Smooth Ambiguity Preferences | 2023-02-16 | Paper |
| Comparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model | 2022-11-25 | Paper |
Optimal management of DC pension fund under the relative performance ratio and VaR constraint
European Journal of Operational Research | 2022-11-17 | Paper |
| The continuous-time pre-commitment KMM problem in incomplete markets | 2022-10-25 | Paper |
Dynamic optimal adjustment policies of hybrid pension plans
Insurance Mathematics & Economics | 2022-09-14 | Paper |
Robust equilibrium strategies in a defined benefit pension plan game
Insurance Mathematics & Economics | 2022-09-14 | Paper |
Optimal investment, consumption and life insurance under stochastic framework
SCIENTIA SINICA Mathematica | 2022-03-21 | Paper |
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence
Insurance Mathematics & Economics | 2022-03-10 | Paper |
Optimal contribution rate of PAYGO pension
Scandinavian Actuarial Journal | 2021-09-13 | Paper |
| A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities | 2021-07-13 | Paper |
Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets
Mathematical Finance | 2021-03-23 | Paper |
A classification approach to general s-shaped utility optimization with principals' constraints
SIAM Journal on Control and Optimization | 2020-12-10 | Paper |
Optimal DB-PAYGO pension management towards a habitual contribution rate
Insurance Mathematics & Economics | 2020-11-19 | Paper |
Weighted utility optimization of the participating endowment contract
Scandinavian Actuarial Journal | 2020-09-28 | Paper |
Robust optimal reinsurance and investment strategies for an AAI with multiple risks
Insurance Mathematics & Economics | 2019-11-28 | Paper |
Consumption-investment problem with pathwise ambiguity under logarithmic utility
Mathematics and Financial Economics | 2019-08-30 | Paper |
Optimal Control of DC Pension Plan Management under Two Incentive Schemes
North American Actuarial Journal | 2019-05-08 | Paper |
Robust consumption-investment problem Under CRRA and CARA utilities with time-varying confidence sets
(available as arXiv preprint) | 2018-11-29 | Paper |
Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Insurance Mathematics & Economics | 2018-11-19 | Paper |
Optimal pension decision under heterogeneous health statuses and bequest motives
Journal of Industrial and Management Optimization | 2017-10-20 | Paper |
Optimal mean-variance efficiency of a family with life insurance under inflation risk
Insurance Mathematics & Economics | 2016-12-14 | Paper |
A stochastic Nash equilibrium portfolio game between two DC pension funds
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Valuing inflation-linked death benefits under a stochastic volatility framework
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Optimal management of DC pension plan under loss aversion and value-at-risk constraints
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
Insurance Mathematics & Economics | 2015-12-14 | Paper |
Minimization of absolute ruin probability under negative correlation assumption
Insurance Mathematics & Economics | 2015-12-14 | Paper |
Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
Insurance Mathematics & Economics | 2014-09-22 | Paper |
Variational inequalities in stock loan models
Optimization and Engineering | 2014-08-20 | Paper |
Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
Insurance Mathematics & Economics | 2014-04-03 | Paper |
Optimal control of a big financial company with debt liability under bankrupt probability constraints
Frontiers of Mathematics in China | 2013-04-10 | Paper |
Optimal dividend and investing control of an insurance company with higher solvency constraints
Insurance Mathematics & Economics | 2011-12-21 | Paper |
Stock loan with automatic termination clause, cap and margin
Computers & Mathematics with Applications | 2011-03-19 | Paper |
| The influence of transaction costs on optimal control for an insurance company with a new value function | 2010-09-02 | Paper |
| Karhunen-Loève expansion for stochastic convolution of cylindrical fractional Brownian motions | 2010-09-02 | Paper |
ERRATA: "KUNITA-TYPE STOCHASTIC FLOWS OF HOMEOMORPHISMS IN EUCLIDEAN SPACE"
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2009-11-09 | Paper |
Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
Insurance Mathematics & Economics | 2009-03-04 | Paper |
Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
Insurance Mathematics & Economics | 2009-01-16 | Paper |
ANTICIPATING MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTIONS
Stochastics and Dynamics | 2008-08-26 | Paper |
Optimal financing and dividend control of the insurance company with proportional reinsurance policy
Insurance Mathematics & Economics | 2008-06-25 | Paper |
KUNITA-TYPE STOCHASTIC FLOWS OF HOMEOMORPHISMS IN EUCLIDEAN SPACE
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2008-05-14 | Paper |
Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs
Bulletin des Sciences Mathématiques | 2008-02-25 | Paper |
Quasi sure analysis of local times of anticipating smooth semimartingales
Bulletin des Sciences Mathématiques | 2008-01-08 | Paper |
Stochastic differential equations driven by spatial parameters semimartingale with non-Lipschitz local characteristic
Potential Analysis | 2007-06-07 | Paper |
| Large deviations for multidimensional SDEs with reflection | 2007-05-02 | Paper |
| Multidimensional SDE with anticipating initial process and reflection | 2007-04-20 | Paper |
Besov regularity for the generalized local time of the indefinite Skorohod integral
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2007-02-19 | Paper |
Besov regularity for the generalized local time of the indefinite Skorohod integral
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2007-02-19 | Paper |
Besov regularity for the generalized local time of the indefinite Skorohod integral
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2007-02-19 | Paper |
| Anticipating Reflected Stochastic Differential Equations | 2006-12-11 | Paper |
Fractional smoothness for the generalized local time of the indefinite Skorokhod integral
Journal of Functional Analysis | 2006-11-15 | Paper |
Anticipative stochastic differential equations with nonsmooth diffusion coefficient
Acta Mathematica Sinica, English Series | 2006-10-04 | Paper |
Exit problems for nonlinear stochastic evolution equations on Hilbert spaces
Science in China. Series A | 2006-09-22 | Paper |
Stochastic Differential Equation Driven by Countably Many Brownian Motions with Non-Lipschitzian Coefficients
Stochastic Analysis and Applications | 2006-07-13 | Paper |
Homeomorphic property of solutions of SDE driven by countably many Brownian motions with non-Lipschitzian coefficients
Bulletin des Sciences Mathématiques | 2005-08-22 | Paper |
Existence and pathwise uniqueness of solutions for stochastic differential equations with respect to martingales in the plane
Stochastic Processes and their Applications | 2002-08-29 | Paper |
| scientific article; zbMATH DE number 1390534 (Why is no real title available?) | 2000-01-17 | Paper |
| scientific article; zbMATH DE number 1381043 (Why is no real title available?) | 1999-12-20 | Paper |
Quantum and non-causal stochastic calculus
Acta Mathematica Sinica, English Series | 1999-10-17 | Paper |
Uniqueness theorem of solutions for stochastic differential equation in the plane
Acta Mathematica Sinica, English Series | 1999-09-21 | Paper |
Two parameter smooth martingales on the Wiener space
Acta Mathematica Sinica, English Series | 1998-02-10 | Paper |
Quasi sure quadratic variations of two parameter smooth martingales on the Wiener space
Journal of Mathematics of Kyoto University | 1997-10-12 | Paper |
Estimates on moments of the solutions to stochastic differential equations with respect to martingales in the plane
Stochastic Processes and their Applications | 1997-04-17 | Paper |
