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An optimal pairs-trading rule

Automatica (Oxford), 2013-10, Vol.49 (10), p.3007-3014

2013

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ON OPTIMAL HARVESTING PROBLEMS IN RANDOM ENVIRONMENTS

SIAM journal on control and optimization, 2011-01, Vol.49 (2), p.859-889

2011

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Numerical Solutions for Stochastic Differential Games With Regime Switching

IEEE transactions on automatic control, 2008-03, Vol.53 (2), p.509-521

2008

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Characterization of stochastic control with optimal stopping in a Sobolev space

Automatica (Oxford), 2013-06, Vol.49 (6), p.1654-1662

2013

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Saddle points of discrete Markov zero-sum game with stopping

Automatica (Oxford), 2012-08, Vol.48 (8), p.1898-1903

2012

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On the Continuity of Stochastic Exit Time Control Problems

Stochastic analysis and applications, 2011-01, Vol.29 (1), p.48-60

2011

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Convergence rate of LQG mean field games with common noise

Mathematical methods of operations research (Heidelberg, Germany), 2024-06, Vol.99 (3), p.233-270

2024

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Optimal Portfolio Selection Under Concave Price Impact

Applied mathematics & optimization, 2013-06, Vol.67 (3), p.353-390

2013

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Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables

IMA journal of numerical analysis, 2023-04, Vol.43 (2), p.1001-1035

2023

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Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution

Journal of computational and applied mathematics, 2021-05, Vol.388, p.113302, Article 113302

2021

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Solving a Class of Mean-Field LQG Problems

IEEE transactions on automatic control, 2022-03, Vol.67 (3), p.1597-1602

2022

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On the Equivalence and Condition of Different Consensus Over a Random Network Generated by i.i.d. Stochastic Matrices

IEEE transactions on automatic control, 2011-05, Vol.56 (5), p.1203-1207

2011

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On singular control problems with state constraints and regime-switching: A viscosity solution approach

Automatica (Oxford), 2016-08, Vol.70, p.66-73

2016

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The convergence rate of the equilibrium measure for the hybrid LQG Mean Field Game

Nonlinear analysis. Hybrid systems, 2024-05, Vol.52, p.101454, Article 101454

2024

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Spectral Methods for Substantial Fractional Differential Equations

Journal of scientific computing, 2018-03, Vol.74 (3), p.1554-1574

2018

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CONVERGENCE RATES OF MARKOV CHAIN APPROXIMATION METHODS FOR CONTROLLED DIFFUSIONS WITH STOPPING

Journal of systems science and complexity, 2010-06, Vol.23 (3), p.600-621

2010

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Pricing double volatility barriers option under stochastic volatility

Stochastics (Abingdon, Eng. : 2005), 2021-05, Vol.93 (4), p.625-645

2021

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Pyrolysis of coal group component. Part Ⅰ. Emission characteristics and product distribution of saturate component

Energy (Oxford), 2021-02, Vol.216, p.119158, Article 119158

2021

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Approximating functionals of local martingales under lack of uniqueness of the Black-Scholes PDE solution

Quantitative finance, 2015-05, Vol.15 (5), p.901-908

2015

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Solving Elliptic Hamilton-Jacobi-Bellman Equations in a Value Space

IEEE control systems letters, 2021-01, Vol.5 (1), p.55-60

2021

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On the Graphon Mean Field Game equations: Individual agent affine dynamics and mean field dependent performance functions

ESAIM. Control, optimisation and calculus of variations, 2022, Vol.28, p.24

2022

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Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk

SIAM journal on financial mathematics, 2017-01, Vol.8 (1), p.1-27

2017

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The density evolution of the killed McKean-Vlasov process

Stochastics (Abingdon, Eng. : 2005), 2020-05, Vol.92 (4), p.642-657

2020

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The stochastic solution to a Cauchy problem for degenerate parabolic equations

Journal of mathematical analysis and applications, 2017-07, Vol.451 (1), p.448-472

2017

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Ergodicity and strong limit results for two-time-scale functional stochastic differential equations

Stochastic analysis and applications, 2017-11, Vol.35 (6), p.1030-1046

2017

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An optimal pairs-trading rule

ON OPTIMAL HARVESTING PROBLEMS IN RANDOM ENVIRONMENTS

Numerical Solutions for Stochastic Differential Games With Regime Switching

Characterization of stochastic control with optimal stopping in a Sobolev space

Saddle points of discrete Markov zero-sum game with stopping

On the Continuity of Stochastic Exit Time Control Problems

Convergence rate of LQG mean field games with common noise

Optimal Portfolio Selection Under Concave Price Impact

Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables

Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution

Solving a Class of Mean-Field LQG Problems

On the Equivalence and Condition of Different Consensus Over a Random Network Generated by i.i.d. Stochastic Matrices

On singular control problems with state constraints and regime-switching: A viscosity solution approach

The convergence rate of the equilibrium measure for the hybrid LQG Mean Field Game

Spectral Methods for Substantial Fractional Differential Equations

CONVERGENCE RATES OF MARKOV CHAIN APPROXIMATION METHODS FOR CONTROLLED DIFFUSIONS WITH STOPPING

Pricing double volatility barriers option under stochastic volatility

Pyrolysis of coal group component. Part Ⅰ. Emission characteristics and product distribution of saturate component

Approximating functionals of local martingales under lack of uniqueness of the Black-Scholes PDE solution

Solving Elliptic Hamilton-Jacobi-Bellman Equations in a Value Space

On the Graphon Mean Field Game equations: Individual agent affine dynamics and mean field dependent performance functions

Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk

The density evolution of the killed McKean-Vlasov process

The stochastic solution to a Cauchy problem for degenerate parabolic equations

Ergodicity and strong limit results for two-time-scale functional stochastic differential equations

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