Probability, Uncertainty and Quantitative Risk

Title Publication Date Language Citations
Parameter estimation in Manneville–Pomeau processes2023/01/01
Optimal stopping in predictable setting2023/01/01
Linear regression under model uncertainty2023/01/01
<i>G</i>-stochastic maximum principle for risk-sensitive control problem and its applications2023/01/01
Determining exact survival probability by setting discrete random variables in E. Sparre Andersen’s model2023/01/01
Backward doubly-stochastic differential equations with mean reflection2023/01/01
CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs2021/01/01
Efficient hedging under ambiguity in continuous time2020/08/28English
The Cauchy problem of Backward Stochastic Super-Parabolic Equations with Quadratic Growth2019/03/30English
Editorial2016/08/16English
Piecewise constant martingales and lazy clocks2019/02/11English
Stochastic maximum principle for systems driven by local martingales with spatial parameters2021/01/01
Path independence of the additive functionals for stochastic differential equations driven by G-lévy processes2022/01/01
RBSDEs with optional barriers: monotone approximation2022/01/01
On the compensator of the default process in an information-based model2017/09/11English
<i>G</i> -forward performance process and representation of homothetic case via ergodic quadratic <i>G</i> -BSDE2024/01/01
Time-consistent pension policy with minimum guarantee and sustainability constraint2024/01/01
Preface for recent advances in forward performance processes2024/01/01
Optimal investment and consumption with forward preferences and uncertain parameters2024/01/01
Bi-revealed utilities in a defaultable universe: A new point of view on consumption2024/01/01
Optimal consumption–investment under partial information in conditionally log-Gaussian models2023/01/01
Mean-field BSDEs with jumps and dual representation for global risk measures2023/01/01
3D shear flows driven by Lévy noise at the boundary2023/01/01
Performance of a Markovian neural network versus dynamic programming on a fishing control problem2023/01/01
Ergodic switching control for diffusion-type processes2023/01/01
Uniform convergence rates for spot volatility estimation2023/01/01
On the uniqueness result for the BSDE with deterministic coefficient2023/01/01
A strong law of large numbers under sublinear expectations2023/01/01
Mean-field stochastic differential equations with a discontinuous diffusion coefficient2023/01/01
Representation theorem and viability property for multidimensional BSDEs and their applications2023/01/01