Probability, Uncertainty and Quantitative Risk

Title Publication Date Language Citations
Convergence of the deep BSDE method for coupled FBSDEs2020/07/22English46
The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks2017/06/26English39
Stochastic global maximum principle for optimization with recursive utilities2017/03/01English33
Law of large numbers and central limit theorem under nonlinear expectations2019/04/16English28
Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications2016/12/01English27
Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability2016/08/16English25
Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs2016/12/01English15
Affine processes under parameter uncertainty2019/05/28English15
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective2017/03/01English13
Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs2019/01/04English12
Characterization of optimal feedback for stochastic linear quadratic control problems2017/09/27English12
Arbitrage-free pricing of derivatives in nonlinear market models2018/04/21English12
On the laws of the iterated logarithm under sub-linear expectations2021/01/0112
Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle2018/06/05English10
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios2017/06/26English9
Backward-forward linear-quadratic mean-field games with major and minor agents2016/12/01English8
Pathwise no-arbitrage in a class of Delta hedging strategies2016/08/16English7
A branching particle system approximation for a class of FBSDEs2016/12/01English6
Convergence rate of Peng’s law of large numbers under sublinear expectations2021/01/015
An FBSDE approach to market impact games with stochastic parameters2021/01/015
Optimal unbiased estimation for maximal distribution2021/01/015
Convergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients2021/01/015
Stein’s method for the law of large numbers under sublinear expectations2021/01/014
Financial asset price bubbles under model uncertainty2017/12/01English4
Moderate deviation for maximum likelihood estimators from single server queues2020/03/24English4
Nonlinear regression without i.i.d. assumption2019/11/05English4
Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting2018/12/01English4
Optimal control with delayed information flow of systems driven by G-Brownian motion2018/10/20English4
Conditional coherent risk measures and regime-switching conic pricing2021/01/013
Uncertainty and filtering of hidden Markov models in discrete time2020/06/03English3