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Three Algorithms for Solving High-Dimensional Fully Coupled FBSDEs Through Deep Learning

IEEE intelligent systems, 2020-05, Vol.35 (3), p.71-84

2020

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The least squares estimator of random variables under sublinear expectations

Journal of mathematical analysis and applications, 2017-07, Vol.451 (2), p.906-923

2017

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A Multi-Step Algorithm for BSDEs Based On a Predictor-Corrector Scheme and Least-Squares Monte Carlo

Methodology and computing in applied probability, 2022-12, Vol.24 (4), p.2403-2426

2022

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Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems

International journal of control, 2022-07, Vol.95 (7), p.1979-1992

2022

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Dual method for continuous-time Markowitz's problems with nonlinear wealth equations

Journal of mathematical analysis and applications, 2010-06, Vol.366 (1), p.90-100

Ji, Shaolin

2010

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Long noncoding RNA NEAT1 regulates the development of osteosarcoma through sponging miR‐34a‐5p to mediate HOXA13 expression as a competitive endogenous RNA

Molecular genetics & genomic medicine, 2019-06, Vol.7 (6), p.e673-n/a

2019

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Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo

Journal of computational and applied mathematics, 2023-01, Vol.417, p.114543, Article 114543

2023

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A generalized Neyman–Pearson lemma for g-probabilities

Probability theory and related fields, 2010-11, Vol.148 (3-4), p.645-669

2010

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Solvability of one kind of forward-backward stochastic difference equations

Communications in statistics. Theory and methods, 2024-08, Vol.53 (16), p.5853-5870

2024

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A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems

SIAM journal on control and optimization, 2022-01, Vol.60 (5), p.2759-2786

2022

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A stochastic maximum principle for forward–backward stochastic control systems with quadratic generators and sample-wise constraints

ESAIM. Control, optimisation and calculus of variations, 2024, Vol.30, p.29

2024

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Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion

Stochastic processes and their applications, 2017-01, Vol.127 (1), p.107-134

2017

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A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems

SIAM journal on control and optimization, 2018-01, Vol.56 (6), p.4309-4335

2018

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The stochastic maximum principle in singular optimal control with recursive utilities

Journal of mathematical analysis and applications, 2019-03, Vol.471 (1-2), p.378-391

2019

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Terminal perturbation method for the backward approach to continuous time mean–variance portfolio selection

Stochastic processes and their applications, 2008-06, Vol.118 (6), p.952-967

2008

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Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems

Optimal control applications & methods, 2022-07, Vol.43 (4), p.1076-1095

2022

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Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity

SIAM journal on control and optimization, 2016-01, Vol.54 (2), p.918-945

2016

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Ambiguous Volatility and Asset Pricing in Continuous Time

The Review of financial studies, 2013-07, Vol.26 (7), p.1740-1786

2013

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Solvability of forward-backward stochastic difference equations with finite states

Stochastics (Abingdon, Eng. : 2005), 2022-08, Vol.94 (6), p.905-925

2022

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A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators

SIAM journal on control and optimization, 2022-01, Vol.60 (3), p.1791-1818

2022

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Non-Markovian fully coupled forward-backward stochastic systems and classical solutions of path-dependent PDES

Stochastic analysis and applications, 2021-01, Vol.39 (1), p.91-112

2021

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A robust Kalman–Bucy filtering problem

Automatica (Oxford), 2020-12, Vol.122, p.109252, Article 109252

2020

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A maximum principle for fully coupled forward–backward stochastic control systems with terminal state constraints

Journal of mathematical analysis and applications, 2013-11, Vol.407 (2), p.200-210

2013

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Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems

Mathematics of operations research, 2023-08, Vol.48 (3), p.1767-1790

2023

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Explicit solutions for continuous time mean–variance portfolio selection with nonlinear wealth equations

Systems & control letters, 2017-06, Vol.104, p.1-4

2017

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Three Algorithms for Solving High-Dimensional Fully Coupled FBSDEs Through Deep Learning

The least squares estimator of random variables under sublinear expectations

A Multi-Step Algorithm for BSDEs Based On a Predictor-Corrector Scheme and Least-Squares Monte Carlo

Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems

Dual method for continuous-time Markowitz's problems with nonlinear wealth equations

Long noncoding RNA NEAT1 regulates the development of osteosarcoma through sponging miR‐34a‐5p to mediate HOXA13 expression as a competitive endogenous RNA

Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo

A generalized Neyman–Pearson lemma for g-probabilities

Solvability of one kind of forward-backward stochastic difference equations

A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems

A stochastic maximum principle for forward–backward stochastic control systems with quadratic generators and sample-wise constraints

Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion

A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems

The stochastic maximum principle in singular optimal control with recursive utilities

Terminal perturbation method for the backward approach to continuous time mean–variance portfolio selection

Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems

Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity

Ambiguous Volatility and Asset Pricing in Continuous Time

Solvability of forward-backward stochastic difference equations with finite states

A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators

Non-Markovian fully coupled forward-backward stochastic systems and classical solutions of path-dependent PDES

A robust Kalman–Bucy filtering problem

A maximum principle for fully coupled forward–backward stochastic control systems with terminal state constraints

Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems

Explicit solutions for continuous time mean–variance portfolio selection with nonlinear wealth equations

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