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Survey on Path-Dependent PDEs

Chinese annals of mathematics. Serie B, 2023-11, Vol.44 (6), p.837-856

2023

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General Mean Reflected Backward Stochastic Differential Equations

Journal of theoretical probability, 2024-03, Vol.37 (1), p.877-904

2024

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BSDE, path-dependent PDE and nonlinear Feynman-Kac formula

Science China. Mathematics, 2016, Vol.59 (1), p.19-36

2016

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Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Generators

Journal of theoretical probability, 2021-06, Vol.34 (2), p.660-681

2021

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Maximum Principle for General Partial Information Nonzero Sum Stochastic Differential Games and Applications

Dynamic games and applications, 2022-06, Vol.12 (2), p.608-631

2022

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BSDEs with Jumps and Path-Dependent Parabolic Integro-differential Equations

Chinese annals of mathematics. Serie B, 2015-07, Vol.36 (4), p.625-644

Wang, Falei

2015

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Comparison Theorem for Nonlinear Path-Dependent Partial Differential Equations

Abstract and Applied Analysis, 2014-01, Vol.2014 (2014), p.823-827

2014

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Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs

Stochastic processes and their applications, 2021-11, Vol.141, p.139-171

2021

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BSDEs with mean reflection driven by G-Brownian motion

Journal of mathematical analysis and applications, 2019-02, Vol.470 (1), p.599-618

2019

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Multi-dimensional BSDEs with mean reflection

Electronic journal of probability, 2023-01, Vol.28 (none)

2023

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Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty

SIAM journal on control and optimization, 2020-01, Vol.58 (3), p.1341-1370

2020

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Sample path properties of G-Brownian motion

Journal of mathematical analysis and applications, 2018-11, Vol.467 (1), p.421-431

2018

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G -forward performance process and representation of homothetic case via ergodic quadratic G -BSDE

Probability, uncertainty and quantitative risk, 2024, Vol.9 (1), p.85-106

2024

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Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework

Journal of optimization theory and applications, 2019-11, Vol.183 (2), p.422-439

2019

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Quasi-continuous random variables and processes under the G-expectation framework

Stochastic processes and their applications, 2016-08, Vol.126 (8), p.2367-2387

2016

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Stochastic differential equations driven by G-Brownian motion and ordinary differential equations

Stochastic processes and their applications, 2014-11, Vol.124 (11), p.3869-3885

2014

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An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by G-Brownian motion

Journal of mathematical analysis and applications, 2022-04, Vol.508 (2), p.125893, Article 125893

2022

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Quadratic G-BSDEs with convex generators and unbounded terminal conditions

Stochastic processes and their applications, 2022-11, Vol.153, p.363-390

2022

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Stochastic optimal control problem with infinite horizon driven by G-Brownian motion

ESAIM. Control, optimisation and calculus of variations, 2018-04, Vol.24 (2), p.873-899

2018

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Ergodic BSDEs driven by G-Brownian motion and applications

Stochastics and dynamics, 2018-12, Vol.18 (6), p.1850050

2018

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Viability for Stochastic Differential Equations Driven by G-Brownian Motion

Journal of theoretical probability, 2019-03, Vol.32 (1), p.395-416

2019

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BSDEs driven by G-Brownian motion with time-varying Lipschitz condition

Journal of mathematical analysis and applications, 2020-11, Vol.491 (2), p.124342, Article 124342

2020

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Maximum Principle for Mean-Field SDEs Under Model Uncertainty

Applied mathematics & optimization, 2023-06, Vol.87 (3), p.59, Article 59

2023

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Infinite horizon BSDEs under consistent nonlinear expectations

Bulletin des sciences mathématiques, 2022-02, Vol.174, p.103073, Article 103073

2022

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On the comparison theorem for multi-dimensional G-SDEs

Statistics & probability letters, 2015-01, Vol.96, p.38-44

2015

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Survey on Path-Dependent PDEs

General Mean Reflected Backward Stochastic Differential Equations

BSDE, path-dependent PDE and nonlinear Feynman-Kac formula

Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Generators

Maximum Principle for General Partial Information Nonzero Sum Stochastic Differential Games and Applications

BSDEs with Jumps and Path-Dependent Parabolic Integro-differential Equations

Comparison Theorem for Nonlinear Path-Dependent Partial Differential Equations

Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs

BSDEs with mean reflection driven by G-Brownian motion

Multi-dimensional BSDEs with mean reflection

Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty

Sample path properties of G-Brownian motion

G -forward performance process and representation of homothetic case via ergodic quadratic G -BSDE

Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework

Quasi-continuous random variables and processes under the G-expectation framework

Stochastic differential equations driven by G-Brownian motion and ordinary differential equations

An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by G-Brownian motion

Quadratic G-BSDEs with convex generators and unbounded terminal conditions

Stochastic optimal control problem with infinite horizon driven by G-Brownian motion

Ergodic BSDEs driven by G-Brownian motion and applications

Viability for Stochastic Differential Equations Driven by G-Brownian Motion

BSDEs driven by G-Brownian motion with time-varying Lipschitz condition

Maximum Principle for Mean-Field SDEs Under Model Uncertainty

Infinite horizon BSDEs under consistent nonlinear expectations

On the comparison theorem for multi-dimensional G-SDEs

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